Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors

Venus Liew and Terence Tai Leung Chong

Economics Bulletin, 2005, vol. 3, issue 19, 1-5

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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2005-04-01
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Citations: View citations in EconPapers (6)

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