Citation

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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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
URII:	http://shdl.mmu.edu.my/id/eprint/5059

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