 Time-Varying Beta Risk and Its Modeling Techniques for Turkish Industry PortfoliosVasif Abi̇yev
Iktisat Isletme ve Finans, 2015, vol. 30, issue 352, 79-108 Abstract: This paper aims to investigate time-varying beta risk for twenty Turkish industry portfolios. Using weekly data over the period 2002-2013, five different modeling techniques in addition to standard OLS model are employed. The general conclusion here clearly indicates that the systematic risk of each sector, which is summarized by the sector beta, is not stable over time. Based on the in-sample and out-of-sample forecasting results of alternative modeling techniques, the random walk process estimated by the Kalman filter is the most preferred in describing and forecasting the time-varying behavior of sector betas in Turkey. The study finds that, although forecasting performance of stochastic volatility model is higher than the EGARCH and the benchmark OLS model, it is inferior to the Kalman filter approach. Keywords: Time-varying Beta Risk; Kalman Filter; Stochastic Volatility; EGARCH; Turkish Industry Portfolios (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:30:y:2015:i:352:p:79-108 Ordering information: This journal article can be ordered from Access Statistics for this article Iktisat Isletme ve Finans is currently edited by Ali Bilge More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik |
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