Document Type : Research Paper
Authors
Abstract
This study provides a dynamic estimation of Capital Asset Pricing Model in optimal dynamic household decisions during its life cycle based on Dynamic Conditional Correlation (DCC) and State-Space models. In this regards, for daily time series data of Vehicle and parts manufacturing stock price return from 1385 until the end of fourth month of 1391, dynamic estimation of Beta-index time series which obtained from DCC and State-Space models has been compared with static linear regression model. The results show that, the DCC model has minimum error in out-of-sample forecasting of stock returns based on Root Mean Square Error (RMSE) criterion. Nevertheless state-space model has minimum error for in-sample forecasting based on RMSE criterion.
Keywords
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