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

Isa, Zaidi and Chin, Wen Cheong and Abu Hassan, S. M. N (2007) An empirical study of realized and long memory GARCH standardized stock-return. Applied Financial Economics Letters, 3 (2). pp. 121-127.

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Official URL: http://www.tandfonline.com/doi/abs/10.1080/1744654...

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.

Item Type: Article
Subjects: Q Science > Q Science (General)
Divisions: Faculty of Engineering (FOE)
Depositing User: Ms Rosnani Abd Wahab
Date Deposited: 30 Jan 2014 02:41
Last Modified: 30 Jan 2014 02:41
URI: http://shdl.mmu.edu.my/id/eprint/5059

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