This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in … improving the performance of the CAPM and the three-factor Fama-French model. I show how to incorporate time variation in betas … and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially …

standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors … findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than …