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

Chin Wen Cheong, Abu Hassan Shaari Md Nor, Zaidi Isa

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)121-127
Number of pages7
JournalApplied Financial Economics Letters
Volume3
Issue number2
DOIs
Publication statusPublished - Mar 2007

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Long memory
Empirical study
Stock returns
GARCH model
Generalized autoregressive conditional heteroscedasticity
Normality test
Realized volatility
Kurtosis

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

An empirical study of realized and long-memory GARCH standardized stock-return. / Cheong, Chin Wen; Md Nor, Abu Hassan Shaari; Isa, Zaidi.

In: Applied Financial Economics Letters, Vol. 3, No. 2, 03.2007, p. 121-127.

Research output: Contribution to journalArticle

Cheong, Chin Wen ; Md Nor, Abu Hassan Shaari ; Isa, Zaidi. / An empirical study of realized and long-memory GARCH standardized stock-return. In: Applied Financial Economics Letters. 2007 ; Vol. 3, No. 2. pp. 121-127.
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