Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market

• Main Authors: K., P. Lim, M., J. Hinich, K., S. Liew
• 格式: E-Article
• 語言: English
• 出版: EconPapers 2013
• 主題: AC Collections. Series. Collected works
• 在線閱讀: 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/

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...