Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "VARMA-GARCH"
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Inter - sector volatility spillover among equities on the Nairobi Stock Exchange
(Strathmore University, 2015-11)This paper investigates the existence and magnitude of volatility spillovers among equities on the Nair obi Securities Exchange. The multivariate VARMA - GARCH model is used to test for spillover effects between four broad ...