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Capital Asset Pricing Model and Changes in Volatility

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  • Andre Oliveira SANTOS

    (Graduate Institute of International Studies)

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    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.

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    Bibliographic Info

    Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp4.

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    Handle: RePEc:fam:rpseri:rp4

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    Keywords: Creation-Date : 1998-09;

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