Using COGARCH-filtered volatility in modelling within ARDL framework
[ X ]
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The aim of this chapter is to use volatility data, obtained from Continuous GARCH process, in the ARDL Bounds testing approach. For this purpose, the volatility of financial data is modelled by the Continuous GARCH process which is a generalized solution of Lévy driven stochastic differential equation. The impact of the volatility on another variable is analyzed via ARDL Bounds testing approach that gives the opportunity to analyze the short-run and long-term relation, cointegration between variables. The real data application and the R codes are given as an illustration. © The Authors 2021. All rights reserved.
Açıklama
Anahtar Kelimeler
ARDL, Bounds testing, COGARCH, Cointegration, Ryuima, Volatility
Kaynak
WoS Q Değeri
Scopus Q Değeri
N/A
