The usual measure of the undiversifiable risk of a portfolio is its beta. Recent research has allowed beta estimates to vary over time, often based on symmetric multivariate GARCH models. There is, however, widespread evidence in the literature that the volatilities of asset returns, in...

This paper examines the influence of shocks in the Japanese Nikkei Index and in the U.S. S&P Index on the Australian All-Ordinaries Index. W present results from the application of three models - an autoressive linear model, a GARCH-M model and a non-linear neural network model.