Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Price volatility"
Now showing items 1-2 of 2
-
Effects of oil price volatility on the Kenyan stock exchange
(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
(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 ...