Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "GARCH"

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Efficiency of the markov regime switching GARCH Model in modelling volatility for tea prices

Maiyo, Mathew Kiplimo (Strathmore University, 2018)

This study examines the ability of the Markov Regime Switching GARCH model, in comparison with the univariete GARCH models, in modelling and forecasting price volatility of the tea traded at the Mombasa Tea Auction within ...
Return volatility and equity pricing: a frontier market perspective

Othieno, Ferdinand; Chege, Theuri; Kodongo, Odongo

Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya’s fledgling equity market – the Nairobi Securities Exchange. Both the GARCH-in-mean ...