Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market
This study employed the Hinich portmanteau bicorrelation test (Hinich and Patterson, 1995; Hinich, 1996) as a diagnostic tool to determine the adequacy of the GARCH model in describing the returns generating process of Malaysia’s stock market, specifically the Kuala Lumpur Stock Exchange Composite I...
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Main Authors: | K., P. Lim, M., J. Hinich, K., S. Liew |
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Format: | E-Article |
Language: | English |
Published: |
EconPapers
2013
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Subjects: | |
Online Access: | http://ir.unimas.my/id/eprint/3211/1/Garch%2Bdiagnosis%2Bwith%2Bportmanteau%2Bbicorrelation%2Btest%2B%2528abstract0%20%281%29%20%281%29.pdf http://ir.unimas.my/id/eprint/3211/ http://econpapers.repec.org/ |
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