Modelling Volatility Of Kes/Usd Exchange Rates Using Time Series Models (A Case Study Of The Kenyan Exchange Rates)

ABSTRACT

Research work examines the accuracy and forecasting performance of volatility models for

the KES/USD exchange rate return in Kenya using the EGARCH and TARCH. In fitting

these models to the daily and monthly exchange rate returns data collected from CBK which

extended from the period January 2008 to December 2015, In this study, performance of

Time series models ( asymmetric EGARCH and TARCH models) in forecasting the

volatility behavior of Kenya FOREX market was examined. Daily FOREX rates data,

ranging from January, 2008 to December, 2015 was put to statistical manipulation to

examine the FOREX volatility behavior in Kenya.

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APA

JEPKORIR, T (2021). Modelling Volatility Of Kes/Usd Exchange Rates Using Time Series Models (A Case Study Of The Kenyan Exchange Rates). Afribary. Retrieved from https://afribary.com/works/modelling-volatility-of-kes-usd-exchange-rates-using-time-series-models-a-case-study-of-the-kenyan-exchange-rates

MLA 8th

JEPKORIR, TANUI "Modelling Volatility Of Kes/Usd Exchange Rates Using Time Series Models (A Case Study Of The Kenyan Exchange Rates)" Afribary. Afribary, 08 May. 2021, https://afribary.com/works/modelling-volatility-of-kes-usd-exchange-rates-using-time-series-models-a-case-study-of-the-kenyan-exchange-rates. Accessed 13 Jun. 2024.

MLA7

JEPKORIR, TANUI . "Modelling Volatility Of Kes/Usd Exchange Rates Using Time Series Models (A Case Study Of The Kenyan Exchange Rates)". Afribary, Afribary, 08 May. 2021. Web. 13 Jun. 2024. < https://afribary.com/works/modelling-volatility-of-kes-usd-exchange-rates-using-time-series-models-a-case-study-of-the-kenyan-exchange-rates >.

Chicago

JEPKORIR, TANUI . "Modelling Volatility Of Kes/Usd Exchange Rates Using Time Series Models (A Case Study Of The Kenyan Exchange Rates)" Afribary (2021). Accessed June 13, 2024. https://afribary.com/works/modelling-volatility-of-kes-usd-exchange-rates-using-time-series-models-a-case-study-of-the-kenyan-exchange-rates