Time-varying systematic risk in the stock exchange of Thailand : Evidence from multivariate garch and kalman filter estimates
(National Institute of Development Administration, 2015)
The purpose of this study was to use multivariate GARCH and the Kalman filter to estimate the time-varying systematic risk or beta. Much research has found that estimating systematic risk with a market model using the traditional regression approach violated classical assumptions regarding both the stationary assumption and independent identically distributed of the innovations. This study focuses on using various models of multivariate GARCH and the Kalman filter to improve this beta estimation. As the GARCH model is a popular model used…