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

Now showing items 1-3 of 3

    • 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 ...