Statistical Inadequacy of GARCH Models for Asian Stock Markets: Evidence and Implications

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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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Bibliographic Details
Main Authors:	Lim, Kian-Ping, Hinich, M.J., Liew, Venus Khim-Sen
Format:	Article
Language:	English
Published:	Sage Publications 2005
Subjects:	HB Economic Theory
Online Access:	http://ir.unimas.my/id/eprint/18640/ http://ir.unimas.my/id/eprint/18640/2/Statistical%20Inadequacy%20of%20GARCH%20Models%20%28abstract%29.pdf

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