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• W1940046323 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 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." @default.
• W1940046323 created "2016-06-24" @default.
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• W1940046323 date "2007-01-01" @default.
• W1940046323 modified "2023-09-22" @default.
• W1940046323 title "Forecasting the weekly time-varying beta of UK firms:comparison between GARCH models vs Kalman filtermethod" @default.
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