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

Now showing items 1-5 of 5

    • Consistency of the Model Order Change-Point Estimator for GARCH Models 

      Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing Inc., 2018)
      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 ...

    • Limit Theory of Model Order Change-Point Estimator for GARCH Mode 

      Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing, 2018)
      The limit theory of a change-point process which is based on the Manhattan distance of the sample autocorrelation function with applications to GARCH processes is examined. The general theory of the sample autocovariance ...

    • Measuring Financial Risk in Stock Returns: A Case of Nairobi Stock Exchange 

      Machuke, Grace; Mwita, Peter N.; Kihoro, J. M. (International Journal of Science and Research (IJSR), 2014-04)
      Value-at-Risk is an important concept in financial management, financial reporting and risk management. In this study, we have used this tool to assess risk in stocks listed in the Nairobi Stock Exchange. It is commonly ...

    • 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 ...

    • Volatility Estimation of Stock Prices using Garch Method 

      J.K, Koima; Mwita, Peter N.; Nassiuma, D.K. (European Journal of Business and Management, 2015)
      Economic decisions are modeled based on perceived distribution of the random variables in the future, assessment and measurement of the variance which has a significant impact on the future profit or losses of particular ...