The Gaussianity Evaluations of Malaysian Stock Return Volatility

Chin Wen Cheong
2008 American Journal of Applied Sciences  
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.
doi:10.3844/ajassp.2008.146.151 fatcat:sdtr2dyeozgtvawc6v7pgp64qi