Browsing 2nd International Conference by Subject "Volatility"

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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 ...
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 ...