Now showing items 1-2 of 2
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Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic
(Machakos University, 2019-04)Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ... -
MODELING STOCK RETURNS VOLATILITY USING REGIME SWITCHING MODELS
(Machakos University, 2019-04)This paper seeks to model the dynamic relationship between stock market returns, volatility and trading volume in both developed and emerging stock markets. Modeling stock returns volatility has a tremendous reflection ...
