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

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Return volatility and the pricing of equities at the Nairobi Securities Exchange

Chege, Eric Theuri (Strathmore University, 2014-03-12)

Using the monthly return series between 1999 and 2013 I find evidence that volatility is priced on the Nairobi Securities Exchange. The GARCH-M model yields positive and significant ARCH and GARCH parameters and the shocks ...