Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors

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

[img]
Preview
PDF
Autoregressive Lag Length Selection Criteria (abstract).pdf

Download (109kB) | Preview
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
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
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

Actions (For repository members only: login required)

View Item View Item