Recursive modelling in predicting excess returns - case of the Nairobi Securities Exchange

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dc.contributor.authorObingo, Levi Exodus
dc.date.accessioned2016-04-08T11:11:15Z
dc.date.available2016-04-08T11:11:15Z
dc.date.issued2015-12
dc.descriptionSubmitted in partial fulfillment of the requirements for the Degree of Bachelors of Business Science in Financial Economics at Strathmore Universityen_US
dc.description.abstractThe aim of this study was to test the applicability of a recursive modelling approach in modelling stock market returns in the Nairobi Securities Exchange. The dependent variable was the Nairobi Securities Exchange All Share Index, with a core assumption being that firms do not pay dividends. I test the applicability of recursive modelling using three returns models, each containing different regressors, and compare the performance of the models in predicting future values of the index, as well as the performance of the recursive forecasting model compared to a dynamic forecasting model. I find that a recursive model is capable of predicting future values of the index using all three models, with varying performance among the models, but fail to find conclusive evidence to suggest that the recursive forecasting model significantly outperforms a dynamic forecasting model.en_US
dc.identifier.urihttp://hdl.handle.net/11071/4401
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectRecursive Modellingen_US
dc.subjectForecastingen_US
dc.subjectDynamic Forecastsen_US
dc.subjectStatic Forecastsen_US
dc.subjectModel Performanceen_US
dc.subjectNairobi Securities Exchangeen_US
dc.titleRecursive modelling in predicting excess returns - case of the Nairobi Securities Exchangeen_US
dc.typeOtheren_US
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