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2013 | Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej | 71--85
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Estimating short term systematic risk of stock: realized betas vs. Kalmans filters

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We have tested two methods for forecasting short-term betas of the stocks: a state-space modeling and autoregressive models for realized betas. The out-of-the-sample forecast accuracy for the both method is not very good, what can be due to high level of noise in the data. In the paper we tiy to forecast daily betas. When forecasting quarterly betas, the accuracy is approximately two times better. However for investors interested in short-period trading the usefulness of such a long-time betas is much worse. The accuracy of the both method for forecasting is comparable. However the method based on realized betas is numerically simpler and less time-consuming than the method using Kalman filtering. This makes the former method more preferable. (fragment tekstu)
  • Uniwersytet Ekonomiczny w Poznaniu
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