Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195667 
Year of Publication: 
2017
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 5 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-21
Publisher: 
MDPI, Basel
Abstract: 
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian equities. For each equity, several models are fitted, and the best model is chosen based on goodness-of-fit tests and parameters significance. Finally, using the selected dynamic models, VaR (Value-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those based on CAPM with static betas or historical VaR.
Subjects: 
dynamic models
Kalman filter
time-varying beta
CAPM
VaR
JEL: 
C32
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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