Browsing by Subject "GARCH Models"
Now showing items 1-4 of 4
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Consistency of the Model Order Change-Point Estimator for GARCH Models
(Machakos University, 2018-04)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 ... -
Modeling USD/KES Exchange Rate Volatility using GARCH Models
(IOSR Journal of Economics and Finance (IOSR-JEF), 2017-02)this paper the generalized autoregressive conditional heteroscedastic models are applied in modeling exchange rate volatility of the USD/KES exchange rate using daily observations over the period starting 3rd January 2003 ... -
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
(Scientific Research Publishing Inc., 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ... -
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
(IOP Publishing, 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ...
