Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Forecasting"
Now showing items 1-2 of 2
-
Forecasting the time varying-beta of nse-20 share companies: Bi-variate garch (1, 1) model vs kalman filter method
(Strathmore University, 2015)This research paper forecasts the time -varying daily beta of ten stocks listed in the Nairobi Securities Exchange 20- Share Index by use of a Bivariate GARCH (1, 1) model and the Kalman filter method. A comparison of the ... -
Recursive modelling in predicting excess returns - case of the Nairobi Securities Exchange
(Strathmore University, 2015-12)The aim of this study was to test the applicability of a recursive modelling approach in modelling stock market returns in the Nairobi Securities Exchange. The dependent variable was the Nairobi Securities Exchange All ...
