Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method
Choudhry, Taufiq and Wu, Hao (2007) Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method. Southampton, UK, University of Southampton, 38pp. (Management Working Papers, (M-07-09) ).
- Publishers print
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 Kalman method. Forecast errors based on twenty UK company weekly stock return (based on timevary
beta) forecasts are employed to evaluate out-of-sample forecasting ability of both GARCH models
and Kalman method. Measures of forecast errors overwhelmingly support the Kalman filter approach.
Among the GARCH models both GJR and GARCH-X models appear to provide somewhat more
accurate forecasts than the bivariate GARCH model.
|Item Type:||Monograph (Working Paper)|
|Keywords:||forecasting, kalman filter, garch, volatility|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||05 Jun 2008|
|Last Modified:||08 Jun 2012 12:21|
|Contributors:||Choudhry, Taufiq (Author)
Wu, Hao (Author)
|Publisher:||University of Southampton|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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