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

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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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Bibliographic Details
Main Authors:	Liew, Khim Sen, Hinich, M.J., Lim, K.P.
Format:	Working Paper
Language:	English
Published:	EconPapers 2003
Subjects:	HB Economic Theory HF Commerce
Online Access:	http://ir.unimas.my/id/eprint/202/ http://ir.unimas.my/id/eprint/202/1/Garch_diagnosis_with_portmanteau.pdf

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