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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 ...
THE EFFECTS OF HOLIDAYS ON THE GHANAIAN EQUITY MARKET
(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
(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 ...