| dc.description.abstract | Economic decisions are modeled based on perceived distribution of the random variables in the future,
assessment and measurement of the variance which has a significant impact on the future profit or losses of
particular portfolio. The ability to accurately measure and predict the stock market volatility has a wide spread
implications. Volatility plays a very significant role in many financial decisions.
The main purpose of this study is to examine the nature and the characteristics of stock market volatility
of Kenyan stock markets and its stylized facts using GARCH models. Symmetric volatility model namly
GARCH model was used to estimate volatility of stock returns. GARCH (1, 1) explains volatility of Kenyan
stock markets and its stylized facts including volatility clustering, fat tails and mean reverting more
satisfactorily.The results indicates the evidence of time varying stock return volatility over the sampled period of
time.
In conclusion it follows that in a financial crisis; the negative returns shocks have higher volatility than
positive returns shocks.
Keywords: GARCH, Stylized facts, Volatility clustering | en_US |
