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

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  • Chin Wen Cheong
  • Abu Hassan Shaari Mohd Nor
  • Zaidi Isa

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.

Suggested Citation

  • Chin Wen Cheong & Abu Hassan Shaari Mohd Nor & Zaidi Isa, 2007. "An empirical study of realized and long-memory GARCH standardized stock-return," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(2), pages 121-127.
    • Handle: RePEc:taf:raflxx:v:3:y:2007:i:2:p:121-127
    DOI: 10.1080/17446540600883186
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