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| Author: | Gonzalez-rivera, G. |
| Title: | Time-varying risk. The case of the American computer industry |
| Journal: | Journal of Empirical Finance
1996 : FEB, VOL. 2:4, p. 333-342 |
| Index terms: | FINANCE RISK COMPUTER INDUSTRY |
| Language: | eng |
| Abstract: | A bivariate GARCH-in-mean model for individual stock returns and the market portfolio is designed to model volatility and to test the conditional Capital Asset Pricing Model versus the conditional Residual Risk Model. The authors find that a univariate model of volatility for individual stock returns is misspecified. A joint modelling of the market return and the individual stock return shows that a major fore driving the conditional variances of individual stocks is the history contained in the market return variance. The authors find that a conditional residual risk model, where the variance of the individual stock return is used to explain expected returns, is preferred to a conditional CAMP. |
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