Browsing School of Pure and Applied Sciences by Author "Mwita, Peter N."
Now showing items 21-39 of 39
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Imputation Based Treatment Effect Estimators
Dongmezo, P. B. Kenfac; Mwita, Peter N.; Tchwaket, I. R. Kamga (2017-09-15)The problem of counterfactual and control group is at the core of impact evaluation. Almost all existing methods aim to find the best control group to compare with the treated group. The aim of this study is to use ... -
Limit Theory of Model Order Change-Point Estimator for GARCH Mode
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing, 2018)The limit theory of a change-point process which is based on the Manhattan distance of the sample autocorrelation function with applications to GARCH processes is examined. The general theory of the sample autocovariance ... -
Measuring Financial Risk in Stock Returns: A Case of Nairobi Stock Exchange
Machuke, Grace; Mwita, Peter N.; Kihoro, J. M. (International Journal of Science and Research (IJSR), 2014-04)Value-at-Risk is an important concept in financial management, financial reporting and risk management. In this study, we have used this tool to assess risk in stocks listed in the Nairobi Stock Exchange. It is commonly ... -
Modeling export price of tea in Kenya: Comparison of artificial neural network and seasonal autoregressive integrated moving average
Ikonya, Mbiriri; Mwita, Peter N.; Wanjoya, Anthony (Science Publishing Group, 2014-12-19)Agriculture sector is a key driver of economic growth in Kenya. It remains the main source of livelihood for the majority of the Kenyan people. Tea, coffee, and horticulture are the main agricultural exports in Kenya. ... -
Modeling USD/KES Exchange Rate Volatility using GARCH Models
Omari, Cyprian O.; Mwita, Peter N.; Waititu, Antony G. (IOSR Journal of Economics and Finance (IOSR-JEF), 2017-02)this paper the generalized autoregressive conditional heteroscedastic models are applied in modeling exchange rate volatility of the USD/KES exchange rate using daily observations over the period starting 3rd January 2003 ... -
MODELLING THE VOLATILITY OF EXCHANGE RATES IN RWANDESE MARKETS
Ntawihebasenga, Jean de Dieu; Mwita, Peter N.; Mung’atu, J.K. (European Centre for Research Training and Development UK, 2014-12)This work applied Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach to modelling volatility in Rwanda Exchange rate returns. The Autoregressive (AR) model with GARCH errors was fitted to the daily ... -
Modelling the volatility of exchange rates in the Kenyan market
Maana, Isaya; Mwita, Peter N.; Odhiambo, Romanus (Academic Journals, 2010)This paper considers the application of the generalized autoregressive conditional heteroscedasticity process in the estimation of volatility in the Kenyan exchange rates. A quasi-maximum likelihood estimation procedure ... -
Nonparametric estimates for conditional quantiles of time series
Jürgen, Franke; Mwita, Peter N.; Weining, Wang (2014) -
Nonparametric Estimates for Conditional Quantiles of Time Series
Franke, Jürgen; Mwita, Peter N.; Wang, Weining (2014)We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt , where Xt can either exogenous variables or lagged variables of Yt . The conditional quantile is ... -
Nonparametric Estimation of the Error Functional of a Location-Scale Model
Torsen, Emmanuel; Mwita, Peter N.; Mung’atu, J. K. (Scienpress Ltd, 2018-10-01)Two estimators of the distribution of the error term are proposed based on nonparametric regression residuals; considering a heteroscadastic location-scale model where the mean and variance functions are smooth, and the ... -
Nonparametric Mixed Ratio Estimator for a Finite Population Total in Stratified Sampling
Orwa, George Otieno; Otieno, Romanus Odhiambo; Mwita, Peter N. (2018)We propose a nonparametric regression approach to the estimation of a finite population total in model based frameworks in the case of stratified sampling. Similar work has been done, by Nadaraya and Watson (1964), Hansen ... -
On the Estimation and Properties of Logistic Regression Parameters
Ngunyi, Antony; Mwita, Peter N.; Otieno, Romanus O. (IOSR Journal, 2014)Logistic regression is widely used as a popular model for the analysis of binary data with the areas of applications including physical, biomedical and behavioral sciences. In this study, the logistic regression model, ... -
Prediction of the Likelihood of Households Food Security in the Lake Victoria Region of Kenya
Mwita, Peter N.; Otieno, Romanus Odhiambo; Masanja, Verdiana Grace; Muyanja, Charles (2011)This paper considers the modeling and prediction of households food security status using a sample of households in the Lake Victoria region of Kenya. A priori expected food security factors and their measurements are ... -
Smoothed Conditional Scale Function Estimation in AR(1)-ARCH(1) Processes
Seknewna, Lema L.; Mwita, Peter N.; Muema, B. (Hindawi Publishing Corporation, 2018-03-12)The estimation of the Smoothed Conditional Scale Function for time series was taken out under the conditional heteroscedastic innovations by imitating the kernel smoothing in nonparametric QAR-QARCH scheme. The estimation ... -
Statistical techniques for modeling extreme price dynamics in the energy market
Mbugua, L. N.; Mwita, Peter N. (IOP Publishing, 2013)Extreme events have large impact throughout the span of engineering, science and economics. This is because extreme events often lead to failure and losses due to the nature unobservable of extra ordinary occurrences. ... -
A Three-Step Nonparametric Estimation of Conditional Value-At-Risk Admitting a Location-Scale Model
Torsen, Emmanuel; Mwita, Peter N.; Mung’atu, Joseph K. (Journal of Statistical and Econometric Methods, 2019)Financial institutions owners and regulators are concerned majorly about risk analysis, Value-at-Risk (VaR) is one of the most popular and common measures of risk used in finance, measures the down-side risk and is ... -
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
Omari, Cyprian O.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing Inc., 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ... -
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
Omari, Cyprian O.; Mwita, Peter N.; Waititu, Antony G (IOP Publishing, 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ... -
Volatility Estimation of Stock Prices using Garch Method
J.K, Koima; Mwita, Peter N.; Nassiuma, D.K. (European Journal of Business and Management, 2015)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 ...