Browsing School of Pure and Applied Sciences by Author "Waititu, Antony G."

Now showing items 1-4 of 4

    • Consistency of the Model Order Change-Point Estimator for GARCH Models 

      Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing Inc., 2018)
      GARCH models have been commonly used to capture volatility dynamics in financial time series. A key assumption utilized is that the series is stationary as this allows for model identifiability. This however violates the ...

    • 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 ...

    • 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 ...