𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Stochastic Structure of the Time–Varying Beta: Evidence from UK Companies

✍ Scribed by Taufiq Choudhry

Book ID
108550281
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
287 KB
Volume
70
Category
Article
ISSN
1463-6786

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Forecasting ability of GARCH vs Kalman f
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
✍ Taufiq Choudhry; Hao Wu 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 308 KB

## Abstract This paper investigates the forecasting ability of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH‐GJR and the GARCH‐X model. The paper also compares the forecasting ability of the non‐GARCH model: the Ka