Forecasting ability of GARCH vs kalman filter method: Evidence from daily UK time-varying beta

Journal of Forecasting

Volumn 27, Issue 8, 2008, Pages 670-689

  Choudhry, Taufiq ^a   Wu, Hao ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Forecasting; GARCH; Kalman filter; Time varying beta; Volatility

Indexed keywords

BANDPASS FILTERS; INVESTMENTS; KALMAN FILTERS;

BIVARIATE-GARCH; FILTER METHOD; FORECAST ERRORS; FORECASTING ABILITY; GARCH; GARCH MODELLING; STOCK RETURNS; TIME-VARYING BETA; VOLATILITY; X MODEL;

FORECASTING;

EID: 57049124270     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1096     Document Type: Article

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