Browsing School of Pure and Applied Sciences by Subject "Autoregressive"

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    • 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 ...