Tid: 14 juni 2002 kl 0915-1000 (Obs! Dag och tid!)
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Marie-Claude Saisse
Titel: Modelling the Time-Varying Risk Premium in a CAPM Framework. (Examensarbete)
Sammanfattning: The objective of this thesis is to model the time-varying risk premium in a CAPM framework for the Swedish market. The CAPM strong result states the expected risk premium of an asset to be proportional to its covariance with the market. The CAPM gives only information about the expectation of the risk premium but not on its volatility. ARCH/GARCH models have been widely used to model volatility as they are able to capture some interesting features of the latter such as heteroskedacticity or leptokurtosis. However, these models are not perfect and they particularly do not take into account the asymmetric effect of positive shock versus negative shocks. In this study, the Swedish market is taken as made of an equity and a bond index. Three models have been studied for the risk premium: a constant volatility model, a GARCH in mean, and an LSTGARCH in mean, the latter taking asymmetric effects into account.
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