The JJ test for establishing a long run co integrating relationship and the EGARCH for verifying short run dynamic linkages.
Would DCC-MGARCH be preferable to EGARCH and if so , why?
Thank you very much. Could you also please tell me why EGARCH would not be appropriate ?
JJ test only captures when there is a linear association between sets data, however to assess linear and nonlinear association between sets of data, I advise using nonlinear cointegration test approach , like rank test of Breitung.
best luck
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