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Fractional cointegration tests with GARCH

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  • Yiuman Tse

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.

Suggested Citation

  • Yiuman Tse, 1998. "Fractional cointegration tests with GARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 329-332.
    • Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:329-332
    DOI: 10.1080/096031098332853
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    Cited by:

    1. Sanjay Rajagopal & Patrick Hays, 2012. "Return Persistence in the Indian Real Estate Market," International Real Estate Review, Global Social Science Institute, vol. 15(3), pages 283-305.

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