Hassani, HosseinYeganegi, Mohammad RezaCunado, JuncalGupta, Rangan2019-11-212020Hossein Hassani, Mohammad Reza Yeganegi, Juncal Cuñado & Rangan Gupta (2020): Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data, Journal of Applied Statistics 47(6): 1128-1143, DOI: 10.1080/02664763.2019.1666093. NYP.0266-4763 (print)1360-0532 (online)10.1080/02664763.2019.1666093http://hdl.handle.net/2263/72360This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to June 2018. The main results show the relevance of considering alternative error distributions to the normal distribution when estimating GARCH-type models. Thus, we obtain that the Asymmetric Power ARCH (A-PARCH) models with skew generalized error distribution are the most accurate models when forecasting UK interest rates, while for the short, medium and long-term term forecasting horizons, GARCH models with generalized error distribution for the error term are the most accurate models in forecasting UK's interest rates.en© 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Journal of Applied Statistics, vol. 47, no. 6, pp. 1128-1143, 2020. doi : 10.1080/02664763.2019.1666093. Journal of Applied Statistics is available online at : http://www.tandfonline.comloi/cjas20.Interest ratesVolatilityGARCH modelsForecastingError distributionsUnited Kingdom (UK)Preprint Article