Statistical Inadequacy of GARCH Models for Asian Stock Markets: Evidence and Implications
This study employs the Hinich portmanteau bicorrelation test (Hinich 1996; Hinich and Patterson 1995) as a diagnostic tool to determine the adequacy of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models for eight Asian stock markets. The bicorrelation test results demonstrate t...
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| Main Authors: | , , |
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| Format: | E-Article |
| Language: | English |
| Published: |
Sage Publications
2005
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18640/2/Statistical%20Inadequacy%20of%20GARCH%20Models%20%28abstract%29.pdf http://ir.unimas.my/id/eprint/18640/ http://journals.sagepub.com/doi/abs/10.1177/097265270500400303?journalCode=emfa |
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