Betas calculated with Garch models provides new parameters for a Portfolio selection with an Efficient Frontier

This paper is a summary of the appliance of the Arch models in the selection of as best Portfolio. Assumed that the returns not follows the behavior of the classical hypothesis applied to the capital markets, I consider the application of non-linear models to the CAPM to detect the presence of the heterocedasticity in the series with the objective to obtain robust estimators for calculate the best Portfolio with maximum benefit and minimum volatility.

The model of a selection a portfolio using the excess on beta, with beta estimated with traditional econometric model and betas estimated with the intervention of Garch effects. The comparison analysis with an Efficient Frontier is presented in this paper.

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Keywords: Arch, Garch, Egarch, Tarch, Portfolio, Markowitz, CAPM, APT, Sharpe, betas, Efficient Frontier, Volatility