Applications of state space models in finance

6.2 Modeling conditional betas 109
Table 6.7 — continued
Sector Model α1; α2(×10 4 ) β1; β2 σ 2 i1; σ 2 i2(×10 2 ) γ11 γ22 µ1; µ2(×10 3 ) σ 2 01; σ 2 02(×10 2 )
Insurance MS −5.81; −8.25 1.12; 1.37 1.01; 2.48 0.996 0.989
MSM −6.14; 1.58 1.11; 1.39 1.05; 2.64 0.971 0.901 2.44; −2.93 1.64; 3.72
Media MS −0.81; −12.4 1.05; 1.41 1.20; 3.40 0.989 0.960
MSM −2.57; −1.51 1.04; 1.32 1.21; 3.34 0.991 0.935 2.37; −4.21 1.65; 3.60
Oil & Gas MS 6.02; 3.57 0.96; 0.58 1.37; 2.86 0.992 0.983
MSM 6.12; 1.92 0.91; 0.71 1.38; 2.94 0.987 0.926 2.20; −1.68 1.62; 3.45
Personal MS −2.33; 6.06 0.95; 0.80 1.03; 1.87 0.995 0.980
MSM −1.76; −5.45 0.99; 0.85 1.72; 1.84 0.986 0.962 2.79; −4.19 1.72; 3.88
Retail MS 2.29; −11.9 0.90; 0.97 1.12; 2.48 0.909 0.891
MSM 2.50; −19.6 0.87; 0.99 1.45; 2.83 0.967 0.872 1.68; −5.45 1.68; 4.04
Technology MS 2.45; −1.61 1.18; 1.71 1.25; 3.85 0.996 0.990
MSM 3.67; −7.46 1.17; 1.60 1.25; 3.80 0.993 0.947 2.48; −2.35 1.62; 3.38
Telecom MS 6.73; −8.51 1.09; 1.31 1.49; 3.24 0.997 0.989
MSM 3.29; −3.24 1.12; 1.21 1.49; 3.22 0.992 0.974 2.76; −4.10 1.69; 3.60
Travel MS 0.05; −0.20 0.82; 0.50 1.09; 2.71 0.967 0.733
MSM −1.36; −8.04 0.84; 0.73 1.05; 2.13 0.976 0.922 3.04; −5.01 1.67; 3.94
Utilities MS 6.97; −8.05 0.82; 0.56 1.03; 1.63 0.994 0.977
MSM 7.07; −3.89 0.81; 0.63 1.03; 1.67 0.989 0.960 2.90; −5.67 1.59; 3.69