Maximum Likelihood Estimation of Stochastic Unit Root Models with GARCH Disturbances

Jacek Kwiatkowski ()
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Jacek Kwiatkowski: Nicolas Copernicus University, Toruń, Poland

Chapter 11 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 149-157 from University of Lodz

Abstract: Chapter 11 is devoted to stochastic unit root models with GARCH disturbances applied to the main exchange rates of the Polish zloty. This chapter is theoretically oriented and presents an estimation technique within the Kalman filter framework, which allows for GARCH errors in a stochastic unit root model. It finds evidence for stochastic unit roots in the time series tested.

Keywords: Maximum likelihood; Stochastic unit root model; GARCH disturbances (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:00:ch:11:mon

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