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

Chin Wen Cheong, Abu Hassan Shaari Mohd Nor and Zaidi Isa

Applied Financial Economics Letters, 2007, vol. 3, issue 2, 121-127

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.

Date: 2007
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DOI: 10.1080/17446540600883186

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