Browsing by Subject "Volatility"

Now showing items 1-8 of 8

    • 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 ...

    • 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 ...

    • MODELLING THE VOLATILITY OF EXCHANGE RATES IN RWANDESE MARKETS 

      Ntawihebasenga, Jean de Dieu; Mwita, Peter N.; Mung’atu, J.K. (European Centre for Research Training and Development UK, 2014-12)
      This work applied Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach to modelling volatility in Rwanda Exchange rate returns. The Autoregressive (AR) model with GARCH errors was fitted to the daily ...

    • Modelling the volatility of exchange rates in the Kenyan market 

      Maana, Isaya; Mwita, Peter N.; Odhiambo, Romanus (Academic Journals, 2010)
      This paper considers the application of the generalized autoregressive conditional heteroscedasticity process in the estimation of volatility in the Kenyan exchange rates. A quasi-maximum likelihood estimation procedure ...

    • Testing Of Consistent Trends in Stock Performance In The Nairobi Securities Exchange 

      Ndegwa, James N.; Kiweu, Joséphat M. (Department of Business Administration, School of Business, University of Nairobi., 2015-03)
      Consistent stock performance contradicts random adjustment of stock prices in efficient markets and is thus anomalous despite the potential of generating significant profits for investors. This research set out to test ...