Browsing by Subject "GARCH"

Now showing items 1-10 of 11

    • Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic 

      Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (MksU Press, 2021-06)
      Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ...

    • Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic 

      Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (Machakos University, 2019-04)
      Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ...

    • Consistency of the Model Order Change-Point Estimator for GARCH Models 

      Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing Inc., 2018)
      GARCH models have been commonly used to capture volatility dynamics in financial time series. A key assumption utilized is that the series is stationary as this allows for model identifiability. This however violates the ...

    • THE EFFECTS OF HOLIDAYS ON THE GHANAIAN EQUITY MARKET 

      Kudjawu, Alexandra Fafali; Andoh, Charles; Kuttu, Saint (Machakos University, 2019-04)
      This paper sought to determine if the Ghanaian equity market is a semi-strong efficient market by investigating whether or not the holiday effect exists by adopting an ARMAX (2, 2) - GARCH (1, 1) model with 𝐺𝐿+ innovation. ...

    • The Effects of Holidays on the Ghanaian Equity Market 

      Kudjawu, Alexandra Fafali; Andoh, Charles; Kuttu, Saint (MksU Press, 2021-06)
      This paper sought to determine if the Ghanaian equity market is a semi-strong efficient market by investigating whether or not the holiday effect exists by adopting an ARMAX (2, 2) - GARCH (1, 1) model with 𝐺𝐿+innovation. ...

    • Limit Theory of Model Order Change-Point Estimator for GARCH Mode 

      Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing, 2018)
      The limit theory of a change-point process which is based on the Manhattan distance of the sample autocorrelation function with applications to GARCH processes is examined. The general theory of the sample autocovariance ...

    • Measuring Financial Risk in Stock Returns: A Case of Nairobi Stock Exchange 

      Machuke, Grace; Mwita, Peter N.; Kihoro, J. M. (International Journal of Science and Research (IJSR), 2014-04)
      Value-at-Risk is an important concept in financial management, financial reporting and risk management. In this study, we have used this tool to assess risk in stocks listed in the Nairobi Stock Exchange. It is commonly ...

    • MODELING STOCK RETURNS VOLATILITY USING REGIME SWITCHING MODELS 

      Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; Simwa, Richard Onyino (Machakos University, 2019-04)
      This paper seeks to model the dynamic relationship between stock market returns, volatility and trading volume in both developed and emerging stock markets. Modeling stock returns volatility has a tremendous reflection ...

    • Modeling Stock Returns Volatility Using Regime Switching Models 

      Kaweto, Kalovwe, Sebastian; Mwaniki, Joseph Ivivi; Simwa, Richard Onyino (MksU Press, 2021-06)
      This paper seeks to model the dynamic relationship between stock market returns, volatility and trading volume in both developed and emerging stock markets. Modeling stock returns volatility has a tremendous reflection ...

    • Modelling Inflation Rate Volatility in Kenya Using Arch -Type Model Family 

      Okeyo, Johnson; Ivivi, Mwaniki; Ngare, Philip (2016)
      This paper describe the empirical study based on financial time series modelling with special application to modelling inflation data for Kenya. Specifically the theory of time series is modelled and applied to the ...