Choudhry, Taufiq; Wu, Hao - In: The European Journal of Finance 15 (2009) 4, pp. 437-444
This paper investigates the forecasting ability of three different Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models and the Kalman filter method. The three GARCH models applied are: bivariate GARCH, BEKK GARCH, and GARCH-GJR. Forecast errors based on 20 UK company's...