Browsing School of Pure and Applied Sciences by Subject "Exchange rate"

Now showing items 1-3 of 3

    • ESTIMATION OF EXTREME VALUE AT RISK IN RWANDA EXCHANGE RATE 

      Ntawihebasenga, Jean de Dieu; Mwita, Peter N.; Mung’atu, J.K. (European Centre for Research Training and Development UK, 2014-12)
      Estimating the probability of rare and extreme events is a crucial issue in the risk estimation of exchange rate returns. Extreme Value Theory (EVT) is a well-developed theory in the field of probability that studies the ...

    • Estimation of Risk in Rwanda Exchange Rate 

      Dieu, Ntawihebasenga J.; Mwita, Peter N.; Mung’atu, J. K. (2014)
      Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach was applied to Rwanda Exchange rate returns to estimating current volatility. We fitted autoregressive (AR) model with GARCH errors to the daily ...

    • 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 ...