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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Analysis of dynamics of beta coefficient in the CAPM model using models of asymmetric volatility and correlation
 Staňková, Tereza ; Frýd, Lukáš (advisor) ; Jiránek, Petr (referee)
The aim of this thesis is to estimate the dynamic development of the beta coefficient for the pharmaceutical industry and agriculture to test the influence of asymmetry in volatility and correlation on the estimation of this coefficient. OLS rolling window, Dynamic Conditional Correlation by Engle (2002) and its asymmetric version by Cappiello, Engle and Sheppard (2006) were used to demonstrate the dynamic development of the beta coefficient. In the case of agriculture, the asymmetry in scattering and correlation had a statistically significant impact on the beta coefficient estimate. In the case of the pharmaceutical industry, the beta coefficients of these models differed only in shorter periods of high volatility. In addition, the ability to predict beta during crisis was better for these models than for the beta published by Damodaran.
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