IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-05c20011.html
   My bibliography  Save this article

Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors

Author

Listed:
  • Venus Khim-Sen Liew

    () (SPKAL, Universiti Malaysia Sabah)

  • Terence Tai-leung Chong

    () (Department of Economics, The Chinese University of Hong Kong)

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.

Suggested Citation

  • Venus Khim-Sen Liew & Terence Tai-leung Chong, 2005. "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-5.
  • Handle: RePEc:ebl:ecbull:eb-05c20011
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/pubs/EB/2005/Volume3/EB-05C20011A.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
    2. C. C. Bautista, 2003. "Stock market volatility in the Philippines," Applied Economics Letters, Taylor & Francis Journals, vol. 10(5), pages 315-318, April.
    3. Speight, Alan E. H. & McMillan, David G., 2001. "Volatility spillovers in East European black-market exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 367-378, June.
    4. Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.
    5. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ahmed Bensaida, 2012. "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(3), pages 51-64, July.
    2. Bayraci, Selcuk, 2007. "Modeling the volatility of FTSE All Share Index Returns," MPRA Paper 28095, University Library of Munich, Germany.
    3. Terence Tai-Leung Chong & Chi-Leung Wong & Venus Liew, 2006. "Estimation of the Autoregressive Order in the Presence of Measurement Errors," Economics Bulletin, AccessEcon, vol. 3(12), pages 1-10.
    4. Venus Khim-sen Liew & Terence Tai- leung Chong, 2003. "Effects of STAR and TAR types nonlinearities on order selection criteria," Econometrics 0307005, EconWPA.

    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-05c20011. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.