A Two-Factor ARCH Model for Deposit-Institution Stock Returns
为存款机构股票收益构建了一个双因子ARCH模型，因子为市场收益和利率，用GMM估计时变贝塔，发现市场风险在1982年后增大且更波动，利率风险则较稳定。
This paper specifies a two-factor model for a sample of deposit institutions. The factors are the market return and an interest rate factor. The two-factor model is specified with Autoregressive Conditional Heteroskedacity (ARCH) modeling strategy and is estimated by Generalized Method of Moments (GMM). The market and interest rate risks are measured by their time-varying betas. The results suggest that the market risks have been volatile over the sample period 1977-87 and they increased and became more volatile after 1982. The interest rate risks were more stable and they did not respond to the Fed's regime change in monetary policy in 1979 and 1982. Specification tests suggest the usefulness of my two-factor ARCH model in the study of deposit-institution stock returns. Copyright 1994 by Ohio State University Press.