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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFL20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.