An empirical study of realized and long-memory GARCH standardized stock-return

In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to reduce but not eliminate the excess kurtosis condition compare to the realized-standardized returns.

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Year of publication:	2007
Authors:	Cheong, Chin Wen ; Nor, Abu Hassan Shaari Mohd ; Isa, Zaidi
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 3.2007, 2, p. 121-127
Publisher:	Taylor and Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988347