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: | Working Paper |
| Language: | English |
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EconPapers
2003
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/202/ http://ir.unimas.my/id/eprint/202/1/Garch_diagnosis_with_portmanteau.pdf |
| _version_ | 1848834497331593216 |
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| author | Liew, Khim Sen Hinich, M.J. Lim, K.P. |
| author_facet | Liew, Khim Sen Hinich, M.J. Lim, K.P. |
| author_sort | Liew, Khim Sen |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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 Index (KLSE CI). The bicorrelation results demonstrated that, while GARCH model is commonly applied to financial time series, this model cannot provide an adequate characterization for the underlying process of KLSE CI. Further investigation using the windowed test procedure revealed that this was due to the presence of episodic non-stationarity in the data, which could not be captured by any kind of ARCH or GARCH model, even after modifications to the specifications of the GARCH model. Thus, this study points to the need to continue the search for a parsimonious and congruent model capable of capturing the episodic features presence in the returns series of KLSE CI. |
| first_indexed | 2025-11-15T05:52:55Z |
| format | Working Paper |
| id | unimas-202 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:52:55Z |
| publishDate | 2003 |
| publisher | EconPapers |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-2022020-08-14T01:47:08Z http://ir.unimas.my/id/eprint/202/ Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market Liew, Khim Sen Hinich, M.J. Lim, K.P. HB Economic Theory HF Commerce 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 Index (KLSE CI). The bicorrelation results demonstrated that, while GARCH model is commonly applied to financial time series, this model cannot provide an adequate characterization for the underlying process of KLSE CI. Further investigation using the windowed test procedure revealed that this was due to the presence of episodic non-stationarity in the data, which could not be captured by any kind of ARCH or GARCH model, even after modifications to the specifications of the GARCH model. Thus, this study points to the need to continue the search for a parsimonious and congruent model capable of capturing the episodic features presence in the returns series of KLSE CI. EconPapers 2003-12-05 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/202/1/Garch_diagnosis_with_portmanteau.pdf Liew, Khim Sen and Hinich, M.J. and Lim, K.P. (2003) Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market. [Working Paper] (Unpublished) http://econwpa.repec.org/ |
| spellingShingle | HB Economic Theory HF Commerce Liew, Khim Sen Hinich, M.J. Lim, K.P. Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market |
| title | Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market |
| title_full | Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market |
| title_fullStr | Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market |
| title_full_unstemmed | Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market |
| title_short | Garch diagnosis with portmanteau bicorrelation test an application on the Malaysia’s stock market |
| title_sort | garch diagnosis with portmanteau bicorrelation test an application on the malaysia’s stock market |
| topic | HB Economic Theory HF Commerce |
| url | http://ir.unimas.my/id/eprint/202/ http://ir.unimas.my/id/eprint/202/ http://ir.unimas.my/id/eprint/202/1/Garch_diagnosis_with_portmanteau.pdf |