An empirical study of realized and long-memory GARCH standardized stock-return
AbstractIn 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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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 2 ()
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Web page: http://www.tandf.co.uk/journals/titles/17446546.asp
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