Unit 4: Vector Autoregressive Models (VAR), Granger Causality Test (GCT) and Johansen Cointegration Test (JCT)
Estimating a Multivariate GARCH Model
Estimating multivariate GARCH (MGARCH) models involves determining parameter values that best de...
Granger Causality Test (GCT)
The Granger Causality Test (GCT), developed by Clive Granger, is a statistical hypothesis test u...
Johansen Cointegration Test (JCT)
The Johansen Cointegration Test (JCT), developed by Søren Johansen, is a statistical test used to...