Liew, Venus Khim-Sen and Chong, Terence Tai-Leung (2005) Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors. Economics Bulletin, 3 (19). pp. 1-5. ISSN 1545-2921
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Official URL: https://econpapers.repec.org/article/eblecbull/eb-...
Abstract
We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects.
| Item Type: | Article |
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| Uncontrolled Keywords: | stock market, exchange rate, economy, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Ab Rahim |
| Date Deposited: | 21 Nov 2017 01:46 |
| Last Modified: | 21 Nov 2017 01:46 |
| URI: | http://ir.unimas.my/id/eprint/18631 |
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