Abstract
The Capital Asset Pricing Model is one of the most famous models to estimate return in literature. Introduced in the 60s it estimates the return on an asset depending on the investment risk. The main pin of this model is the Beta coefficient, which measures the change of a title in function of the market index return. The focus of this analysis is the conditional Beta estimated, through the use of the covariance and the conditional variance. This kind of choice is dictated due to of heteroskedasticity of the return's historical series. I introduce the EWMA models (Exponential Weighted Moving Average) and through statistical analysis I compare a series of estimated returns with the traditional CAPM and the one with the conditional Beta.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
