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2010
- ISSN: 2010-023X (Print)
- Abbreviated Title: Int. J. Trade, Economics and Financ.
- Frequency: Quaterly
- DOI: 10.18178/IJTEF
- Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
- Managing Editor: Ms. Shira. W. Lu
- Abstracting/ Indexing: Crossref, Electronic Journals Library , EBSCO
- E-mail: ijtef.editorial.office@gmail.com
IJTEF 2016 Vol.7(5): 206-209 ISSN: 2010-023X
DOI: 10.18178/ijtef.2016.7.5.524
DOI: 10.18178/ijtef.2016.7.5.524
Alternative Methods of the Beta Coefficient Estimation
T. Kliestik and E. Spuchlakova
Abstract—This paper deals with recognizing the Market risk of an asset or portfolio of assets through the Beta Coefficient in Capital Asset Pricing Model. There is wide range of methods based on time series. One of them is Kalman filter. Kalman filter belongs to the special methodology based on correction of previous results via new observations. Kalman filter can optimally forecast the dynamic beta to measurement covariance. The aim of this paper is to show how to measure the volatility, or systematic risk, of a security or a portfolio with the Kalman filter. Kalman filter method, unlike the other estimators, imposes assumptions about the specifics functional form of beta dynamics.
Index Terms—CAPM, Beta coefficient, Kalman filter.
The authors are with University of Ţilina, The Faculty of Operation and Economics of Transport and Communications, Department of Economics, Univerzitná 1, 010 26 Ţilina, Slovak Republic (e-mail: tomas.kliestik@fpedas.uniza.sk, erika.spuchlakova@fpedas.uniza.sk).
Index Terms—CAPM, Beta coefficient, Kalman filter.
The authors are with University of Ţilina, The Faculty of Operation and Economics of Transport and Communications, Department of Economics, Univerzitná 1, 010 26 Ţilina, Slovak Republic (e-mail: tomas.kliestik@fpedas.uniza.sk, erika.spuchlakova@fpedas.uniza.sk).
Cite: T. Kliestik and E. Spuchlakova, "Alternative Methods of the Beta Coefficient Estimation," International Journal of Trade, Economics and Finance vol.7, no.5, pp. 206-209, 2016.