Fractional cointegration tests with GARCH

Yiuman Tse

Applied Financial Economics, 1998, vol. 8, issue 4, 329-332

Abstract: This paper examines the GARCH effects on the Geweke and Porter-Hudak (GPH) and modified rescaled range (MRR) tests for the analysis of the deviations from the cointegrating relationship among series. The Monte Carlo results show that the MRR test is very robust to the GARCH effects. The GPH test tends to over-reject the null hypothesis of no (fractional) cointegration. but the bias is not very serious except when the variance processes are integrated.

Date: 1998
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DOI: 10.1080/096031098332853

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