Research Article Open Access

The Gaussianity Evaluations of Malaysian Stock Return Volatility

Chin Wen Cheong

Abstract

We study the distribution of standardized returns by using various frequencies data. The empirical standardized returns are obtained by using the unobserved and observable daily volatility. Our empirical results evidence the realized-standardized returns follow nearest to a Gaussian distribution. On the other hand, the standardized returns using daily closing and range-based data are able to reduce but not fully eliminate the excess kurtosis condition compare to the realized standardized returns.

American Journal of Applied Sciences
Volume 5 No. 2, 2008, 146-151

DOI: https://doi.org/10.3844/ajassp.2008.146.151

Submitted On: 10 May 2007 Published On: 28 February 2008

How to Cite: Cheong, C. W. (2008). The Gaussianity Evaluations of Malaysian Stock Return Volatility. American Journal of Applied Sciences, 5(2), 146-151. https://doi.org/10.3844/ajassp.2008.146.151

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Keywords

  • financial time series
  • realized volatility
  • discrete time-domain modelling