Capital Asset Pricing Model and Changes in Volatility

Andre Santos

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: This article applies regime-switching models to assess the effects of different regimes of volatility in asset pricing. Different variance-covariance matrices for different regimes of volatility are introduced in the Capital Asset Pricing Model. They are scaled with respect to a conditional variance-covariance matrix that simply follows a GARCH process. The probabilities that U.S. financial markets were in a low, medium, or high regime of volatility from March 1958 to December 1995 are computed.

Keywords: Creation-Date; :; 1998-09 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec and nep-fmk
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.swissfinanceinstitute.ch/rp4.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.swissfinanceinstitute.ch/rp4.pdf [301 Moved Permanently]--> https://www.sfi.ch/rp4.pdf [302 Found]--> https://www.sfi.ch/en/rp4.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp4

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().