Estimating and forecasting the volatility of a Kenyan Finance Time-series using ARCH Models
Abstract
The goal of this study is to present an empirical analysis of the return and conditional variance of
two Kenyan finance series using models of the ARCH class. To help understanding the empirical
results, a critical review of ARCH models is presented. Empirical results obtained show that both
series share ARCH and are leptokurtic relative to the normal.The exchange rate returns explain
12 % of Uchumi returns.
Citation
Master of Science (Social Statistics)Publisher
University of Nairobi School of Mathematics