Browsing by Subject "GARCH Models, Volatility clustering, forecasting volatility, Leverage effect, Value-at-Risk"

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Browsing by Subject "GARCH Models, Volatility clustering, forecasting volatility, Leverage effect, Value-at-Risk"

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  • Omari, Cyprian Ondieki; Mwita, Peter Nyamuhanga; Waititu, Antony Gichuhi (IOSR Journal of Economics and Finance (IOSR-JEF), 2017-02)
    In this paper the generalized autoregressive conditional heteroscedastic models are applied in modeling exchange rate volatility of the USD/KES exchange rate using daily observations over the period starting 3rd January ...