The publication of the time series Analysis course ends. In this issue we consider the construction of economic models with non - stationary regressors, the concept of co - integration and its relationship with the VAR-representation of a multidimensional process, testing the presence of co-integration dependence, evaluation of the model parameters in the presence of co-integration. The models with clustered volatility, which are widely used in the analysis of financial time series, are considered separately.