Time-Varying Beta estimated from Bivariate GARCH

This project estimates time-varying betas and conditional betas using the method outlined in “Forecasting Ability of GARCH vs Kalman Filter Method”. The code uses daily data. The interesting part of the project is that it contained data for a panel of 3000 companies, however, the estimation technique required time-series analysis. Therefore, we developed the code to fit the project requirements. 
detail of this project:



The code is available for $ $99 / per model with some example data. If the data is not in Stata format or needs merging or other manipulation, the fee is $50 for data processing.
For further details, please contact us at:



Project-ID : P18



Choudhry, T., & Wu, H. (2008). Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time‐varying beta. Journal of Forecasting27(8), 670-689.




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Project tags: 

Time-Varying Beta

Conditional Beta

Bivariate GARCH

Forecast errors

Stock returns

Forecasting Ability of GARCH vs Kalman Filter Method

Taufiq Choudry and Hao Wu (2008)

Asset Pricing Models