Estimating the systematic risk of airlines: A methodological comparison
Journal: Air Transport Management
Author: I-Yuan Chuang, Jin-Ray Lu, Ching-Fu Chen
Published: 2006
Abstract
This paper focuses on the estimation of systematic risks in a sample of airlines by using three time-varying models (i.e. the Schwert and Seguin model, the multivariate GARCH model and the Kalman filter algorithm) as well as the conventional capital asset pricing model. Using both domestic and international market indices, the results show that the Kalman filter algorithm method with the domestic market index as a benchmark appears to be the superior model for capturing systematic risk in the airline industry.
