search query: @author Geyer, A. / total: 7
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| Author: | Geyer, A. Hauer, S. |
| Title: | ARCH-Modelle zur Messung des Marktrisikos. |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1991 : JAN, VOL. 43:1, p. 65-74 |
| Index terms: | RISK ANALYSIS |
| Language: | ger |
| Abstract: | The original aim of the paper was to provide an introduction to ARCH (autoregressive conditional heteroscedasticity) models and to exemplify the approach using Sharpe's market model. Preliminary statistical analysis shows that the available time series data of Vienna stock market prices require an ARCH model specification. As it turns out, the betas of the ARCH model tend to be consistently lower than the betas of the market model. The dependency of market risk estimates on model specification found in the paper and problems with beta estimation reported by other authors leads to the conclusion that a reconsideration of the concept of "risk" and its measurement with beta factors is in order. |
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