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

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Effects of oil price volatility on the Kenyan stock exchange

Leiyagu, Donna Naishonva (Strathmore University, 2018)

This study seeks to examine the relationship between the international oil market performance and the performance of stocks in the Kenyan stock market. The study, therefore, employs a bivariate GARCH-BEKK (l, l) model to ...
Modelling and forecasting of crude oil price volatility: comparative analysis of volatility models

Ng’ang’a, Faith Wacuka (Strathmore University, 2021)

This study aims at providing an in-depth analysis of forecasting ability of different GARCH models and to find the best GARCH model for VaR estimation for crude oil. The VaR forecasting performance of GARCH-type models ...