Please use this identifier to cite or link to this item:
Title: Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
Authors: McKenzie, M.D.
Brooks, R.D.
Faff, R.W.
Ho, Y.K. 
Keywords: Beta
Extreme information
JEL Classification
Issue Date: 2000
Citation: McKenzie, M.D.,Brooks, R.D.,Faff, R.W.,Ho, Y.K. (2000). Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks. Quarterly Review of Economics and Finance 40 (1) : 85-106. ScholarBank@NUS Repository.
Abstract: The estimation of time varying beta is an important and growing area of research. The Multivariate GARCH model has been used in the literature to generate estimates of time varying betas. A common feature of the time varying risk estimates generated by this approach, is that they exhibit large outliers. In this paper, we investigate the incidence of such extreme beta observations in order to establish whether they are a response by the market to the arrival of news or alternatively are a result of the model picking up noise from the mean. Using daily data for a sample of U.S. deposit taking institutions over the period 1976 to 1994, this paper uses a Multivariate GARCH model to generate conditional beta estimates. The presence of large outliers is established and investigated. Generally, the results of this study suggest that these extreme observations are economically induced. © 2000 Board of Trustees of the University of Illinois.
Source Title: Quarterly Review of Economics and Finance
ISSN: 10629769
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

checked on Apr 7, 2019

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.