Can anyone put this in layman’s term?
From my understanding, the 1/3* 1.0 adjustment is to bring beta back from what they call “beta drift” because Betas are mean reverting - someone correct me if I am wrong but this is what I gather…
No … adjusting beta for the drift :
B= 2/3*B + 1/3*(1)
but I don’t think that’s relevent for asymmetric beta
sorry for confusing 2 topics