Browsing School of Pure and Applied Sciences by Author "Omari, Cyprian O."
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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 ... -
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 ...