Choudhry, Taufiq; Wu, Hao - In: Journal of Forecasting 27 (2008) 8, pp. 670-689
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...
