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Time-Varying Beta Estimators in the Mexican Emerging Market

Author

Listed:
  • Nieto Domenech, Belén
  • Orbe Mandaluniz, Susan
  • Zárraga Alonso, Ainhoa

Abstract

This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six portfolios for the period 2003-2009. The comparison, based on asset pricing perspective and mean-variance space returns, concludes that GARCH based beta estimators outperform the others when the comparison is in terms of time series while the nonparametric estimator is more appropriate in the cross-sectional context.

Suggested Citation

  • Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    • Handle: RePEc:ehu:biltok:5283
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    References listed on IDEAS

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    Cited by:

    1. Sibel Celik, 2013. "Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 5(1), pages 18-23.

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