Browsing 2nd International Conference by Subject "GARCH"

Now showing items 1-3 of 3

    • Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic 

      Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (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 ...

    • THE EFFECTS OF HOLIDAYS ON THE GHANAIAN EQUITY MARKET 

      Kudjawu, Alexandra Fafali; Andoh, Charles; Kuttu, Saint (Machakos University, 2019-04)
      This paper sought to determine if the Ghanaian equity market is a semi-strong efficient market by investigating whether or not the holiday effect exists by adopting an ARMAX (2, 2) - GARCH (1, 1) model with 𝐺𝐿+ innovation. ...

    • MODELING STOCK RETURNS VOLATILITY USING REGIME SWITCHING MODELS 

      Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; Simwa, Richard Onyino (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 ...