Armitage, Seth; Brzeszczynski, Janusz - In: Applied Financial Economics 21 (2011) 20, pp. 1525-1538
heteroscedasticity of the error term using Autoregressive Conditional Heteroscedasticity (ARCH) models, for 145 UK shares. The … practice. OLS tends to overestimate the beta coefficients compared with ARCH models, and selecting an ARCH type estimate makes …