Time Varying Beta: The Heterogeneous Autoregressive Beta Model

dc.contributor.author

Jain, Kunal

dc.date.accessioned

2011-04-15T05:19:27Z

dc.date.available

2011-04-15T05:19:27Z

dc.date.issued

2011-04-15

dc.department

Economics

dc.description.abstract

Conventional models of volatility estimation do not capture the persistence in high-frequency market data and are not able to limit the impact of market microstructure noise present at very finely sampled intervals. In an attempt to incorporate these two elements, we use the beta-metric as a proxy for equity-specific volatility and use finely sampled time-varying conditional forecasts estimated using the Heterogeneous Autoregressive framework to form a predictive beta model. The findings suggest that this predictive beta is better able to capture persistence in financial data and limit the effect of microstructure noise in high-frequency data when compared to the existing benchmarks.

dc.identifier.uri

https://hdl.handle.net/10161/3402

dc.subject

Beta

dc.subject

Heterogeneous Autoregressive

dc.subject

Persistence

dc.title

Time Varying Beta: The Heterogeneous Autoregressive Beta Model

dc.type

Honors thesis

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