Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework

Yakup Ari

A chapter in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, 2021, pp 301-321 from Springer

Abstract: Abstract 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.

Keywords: Volatility; COGARCH; ARDL; Bounds testing; Cointegration; Ryuima (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-54108-8_13

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DOI: 10.1007/978-3-030-54108-8_13

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