The Gaussianity Evaluations of Malaysian Stock Return Volatility
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.
Copyright: © 2008 Chin Wen Cheong. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
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- financial time series
- realized volatility
- discrete time-domain modelling