TY - JOUR
T1 - Time varying country risk: An assessment of alternative modelling techniques
AU - Brooks, Robert D.
AU - Faff, Robert W.
AU - McKenzie, Michael D.
N1 - Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2002/9
Y1 - 2002/9
N2 - Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the Schwert and Seguin approach, and the Kalman filter method. These approaches are applied to a set of monthly Morgan Stanley country index data over the period 1970 to 1995 and their relative performances compared. In-sample forecast tests of the performance of each of these methods for generating conditional beta suggest that the GARCH-based estimates of risk generate the lowest forecast error although these are not necessarily significantly less than those generated by the other techniques considered.
AB - Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the Schwert and Seguin approach, and the Kalman filter method. These approaches are applied to a set of monthly Morgan Stanley country index data over the period 1970 to 1995 and their relative performances compared. In-sample forecast tests of the performance of each of these methods for generating conditional beta suggest that the GARCH-based estimates of risk generate the lowest forecast error although these are not necessarily significantly less than those generated by the other techniques considered.
UR - http://www.scopus.com/inward/record.url?scp=12144263819&partnerID=8YFLogxK
U2 - 10.1080/13518470110074837
DO - 10.1080/13518470110074837
M3 - Article
AN - SCOPUS:12144263819
SN - 1351-847X
VL - 8
SP - 249
EP - 274
JO - European Journal of Finance
JF - European Journal of Finance
IS - 3
ER -