English, Article edition: An empirical study of realized and long-memory GARCH standardized stock-return Chin Wen Cheong; Abu Hassan Shaari Mohd Nor; Zaidi Isa

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Bookmark: http://trove.nla.gov.au/version/50776
Physical Description
  • article
Language
  • English

Edition details

Title
  • An empirical study of realized and long-memory GARCH standardized stock-return
Author
  • Chin Wen Cheong
  • Abu Hassan Shaari Mohd Nor
  • Zaidi Isa
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfelt:v:3:y:2007:i:2:p:121-127
Language
  • English
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