Modelling the volatility of exchange rates in the Kenyan market

dc.contributor.author	Maana, Isaya
dc.contributor.author	Mwita, Peter N.
dc.contributor.author	Odhiambo, Romanus
dc.date.accessioned	2019-08-15T07:20:03Z
dc.date.available	2019-08-15T07:20:03Z
dc.date.issued	2010
dc.identifier.uri	http://ir.mksu.ac.ke/handle/123456780/4728
dc.description.abstract	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 was used and asymptotic properties of the estimators were given. Exploratory data analysis performed indicated that the returns are heavy tailed. It was found that the estimated model fits the exchange rates return data well.	en_US
dc.language.iso	en_US	en_US
dc.publisher	Academic Journals	en_US
dc.subject	Volatility	en_US
dc.subject	Exchange	en_US
dc.subject	Returns	en_US
dc.subject	Autoregressive	en_US
dc.subject	Heteroscedasticity	en_US
dc.subject	Likelihood	en_US
dc.subject	Quasi	en_US
dc.subject	Maximum	en_US
dc.subject	Estimator	en_US
dc.title	Modelling the volatility of exchange rates in the Kenyan market	en_US
dc.type	Article	en_US

School of Pure and Applied Sciences [259]
Scholarly Articles by Faculty & Students in the School of Pure and Applied Sciences