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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconPapers
2013
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| Subjects: | |
| Online Access: | http://ir.unimas.my/3211/ http://ir.unimas.my/3211/ http://ir.unimas.my/3211/1/Garch%2Bdiagnosis%2Bwith%2Bportmanteau%2Bbicorrelation%2Btest%2B%2528abstract0%20%281%29%20%281%29.pdf |