Cointegration models with non Gaussian GARCH innovations

Nimitha John () and Balakrishna Narayana ()
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Nimitha John: Cochin University of Science and Technology
Balakrishna Narayana: Cochin University of Science and Technology

METRON, 2018, vol. 76, issue 1, No 5, 83-98

Abstract: Abstract This paper presents the estimation procedures for a bivariate cointegration model when the errors are generated by a constant conditional correlation model. In particular, the method of maximum likelihood is discussed when the errors follow Generalised Autoregressive Conditional Hetroskedastic (GARCH) models with Gaussian and some non Gaussian innovations. The method of estimation is illustrated using simulated observations. Data analysis is provided to highlight the applications of the proposed models.

Keywords: Cointegration; Fisher scoring algorithm; Generalised autoregressive conditional heterosedasticity; Volatility Models (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s40300-017-0133-z

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