Using COGARCH-filtered volatility in modelling within ARDL framework

Yakup Arı

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.

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Year of publication:	2021
Authors:	Arı, Yakup
Published in:	Handbook of research on emerging theories, models, and applications of financial econometrics. - Cham, Switzerland : Springer, ISBN 978-3-030-54107-1. - 2021, p. 301-321
Subject:	ARDL \| Bounds testing \| COGARCH \| Cointegration \| Ryuima \| Volatility \| Volatilität \| Kointegration \| Schätzung \| Estimation \| ARCH-Modell \| ARCH model

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Other identifiers:	10.1007/978-3-030-54108-8_13 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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