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.
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
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 26 Apr. 2024.
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. 26 Apr. 2024. < https://afribary.com/works/modelling-volatility-of-kes-usd-exchange-rates-using-time-series-models-a-case-study-of-the-kenyan-exchange-rates >.
JEPKORIR, TANUI . "Modelling Volatility Of Kes/Usd Exchange Rates Using Time Series Models (A Case Study Of The Kenyan Exchange Rates)" Afribary (2021). Accessed April 26, 2024. https://afribary.com/works/modelling-volatility-of-kes-usd-exchange-rates-using-time-series-models-a-case-study-of-the-kenyan-exchange-rates