engleski

Time varying CAPM betas on Zagreb Stock Exchange

This paper employs a CCC GARCH(1, 1) model in order to identify the volatility dynamics of stock market and sector indices on Zagreb Stock Exchange. Time varying CAPM betas are estimated in order to test whether portfolio formation based on the results can enhance portfolio performance. Based upon data on 5 sector indices from January 2nd 2012 to May 15th 2015, the results indicate that time varying betas should be taken into account when forming portfolios.

CCC and DCC GARCH; Zagreb Stock Exchange; CAPM; time varying beta; stocks

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