Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Kalman Filter."

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Forecasting the time varying-beta of nse-20 share companies: Bi-variate garch (1, 1) model vs kalman filter method

Maywa, Nickson K. (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 ...