scholarly journals Estimation of Market Risk Premium for Japan

2009 ◽  
Vol 1 (1) ◽  
Author(s):  
Seoungpil AHN ◽  
Keshab SHRESTHA
Keyword(s):  
Time Series ◽  
Risk Aversion ◽  
Kalman Filtering ◽  
Risk Premium ◽  
Time Varying ◽  
Random Walk Process ◽  
Market Risk Premium ◽  
Time Varying Parameter ◽  
Variance Risk ◽  
Over Time

In this paper, the time series of risk aversion parameter is estimated for the Japanese stock market using weekly return data covering 2/7/1973 to 12/27/2000. The time series of risk aversion parameter is estimated with the Time Varying Parameter (EVP) GARCH-M model proposed by Chou, Engle and Kane (1992), which allows for the risk aversion parameter to change over time by modeling the risk aversion parameter to follow a random walk process. The risk aversion parameter is found to range between 3.5 to 2.2. We also find that the risk aversion parameter has not significantly changed over time. This implies that most of the variation in excess return can be explained by the variation in the market (variance) risk. Keywords: GARCH-M, Kalman Filtering, risk aversion, time-varying parameter, volatility.

Online Bayesian Time-varying Parameter Estimation of HIV-1 Time-series*

2012 ◽  
Vol 45 (16) ◽  
pp. 1294-1299 ◽  
Author(s):  
András Hartmann ◽  
Susana Vinga ◽  
João M. Lemos
Keyword(s):  
Time Series ◽  
Parameter Estimation ◽  
Time Varying ◽  
Time Varying Parameter ◽  
Hiv 1

scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

scholarly journals Structural Breaks dan Ketidakstabilan Permintaan Uang di Indonesia

2017 ◽  
Vol 17 (2) ◽  
pp. 169-183
Author(s):  
Deviyantini Deviyantini ◽  
Iman Sugema ◽  
Tony Irawan
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Demand ◽  
Structural Breaks ◽  
Demand Function ◽  
Series Data ◽  
Time Varying ◽  
Money Demand Function ◽  
Time Varying Parameter

Structural Breaks and Instability of Money Demand in IndonesiaThis research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks, are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The result of Gregory and Hansen test indicates there is no long term equilibrium between variables (money demand, income, domestic interest rate, foreign interest rate, exchange rate, and inflation) in the model, neither M1 nor M2 model. On the other word, money demand function is unstable. The source of the instability is exchange rate variable.Keywords: Stability Money Demand; Structural Breaks; Time Varying Parameter ModelAbstrakPenelitian ini bertujuan untuk mengidentifikasi sumber-sumber ketidakstabilan fungsi permintaan uang (M1 dan M2) akibat dari perubahan struktural yang terjadi karena adanya guncangan ekonomi. Guncangan tersebut, yang secara teknis ditunjukkan oleh keberadaan structural breaks di dalam data, dapat menyebabkan parameter menjadi tidak konstan. Ketidakstabilan fungsi permintaan uang dianalisis dengan menggunakan Gregory and Hansen test. Sumber ketidakstabilan dari permintaan uang diidentifikasi dengan menggunakan time varying parameter model. Penelitian ini menggunakan data time series dalam bentuk kuartalan dari 1993Q1 sampai 2013Q4. Hasil Gregory and Hansen test menunjukkan bahwa tidak ada keseimbangan jangka panjang di antara variabel-variabel (permintaan uang, pendapatan, suku bunga domestik, suku bunga luar negeri, nilai tukar, dan inflasi) di dalam model, baik pada model M1 maupun M2. Dengan kata lain, fungsi permintaan uang tidak stabil. Sumber ketidakstabilan tersebut berasal dari variabel nilai tukar.

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