Browsing School of Pure and Applied Sciences by Author "Ntawihebasenga, Jean de Dieu"

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    • ESTIMATION OF EXTREME VALUE AT RISK IN RWANDA EXCHANGE RATE 

      Ntawihebasenga, Jean de Dieu; Mwita, Peter N.; Mung’atu, J.K. (European Centre for Research Training and Development UK, 2014-12)
      Estimating the probability of rare and extreme events is a crucial issue in the risk estimation of exchange rate returns. Extreme Value Theory (EVT) is a well-developed theory in the field of probability that studies the ...

    • 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 ...