Measuring equity risk premium and risk aversion in the US.

• Main Authors: Chong, Hui Han., Thng, Anthony Lian Guan., Soo, Jia Hao.
• 其他作者: Shrestha, Keshab Man
• 格式: Final Year Project
• 出版: 2008
• 主題: DRNTU::Business::Finance::Equity
• 在線閱讀: http://hdl.handle.net/10356/10404

In our project, we estimated the time series of risk aversion using annual data for the U.S. We use the time varying parameter GARCH-M model, proposed by [Chou et al., 1992] for the estimation. The S&P 500 stock index was used as the market index; and constant maturity 10-year T-Bonds as well a...