Tag: exponentially weighted moving average

Time-varying betas in Risk Management

Time-varying betas in Risk Management

Estimation of betas with regression is adequate for asset managers, but it is not appropriate in risk management of portfolios because monitoring is done on a frequent basis – daily and even intra-daily. Indeed, parameters estimated by OLS at these frequencies will not reflect the actual market conditions because they just represent an average value over time on the sample.

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