Armitage, Seth; Brzeszczynski, Janusz - In: Applied Financial Economics 21 (2011) 20, pp. 1525-1538
The article compares beta estimates obtained from Ordinary Least Squares (OLS) regression with estimates corrected for heteroscedasticity of the error term using Autoregressive Conditional Heteroscedasticity (ARCH) models, for 145 UK shares. The differences are mainly less than 0.10, for betas...