Journal of Advanced Statistics
Modeling Stock Returns Volatility of the Nairobi Securities Exchange Index and Other Indices
Download PDF (266.4 KB) PP. 87 - 93 Pub. Date: June 13, 2016
Author(s)
- Kalovwe Sebastian Kaweto*
Faculty of Science, Department of Mathematics and Computer Science, the Catholic University of Eastern Africa, Nairobi, Kenya - Mwaniki Ivivi Joseph
School of Mathematics, University of Nairobi, Nairobi, Kenya
Abstract
Keywords
References
[1] Baillie, R. and Bollerslev, T. (1989). Common stochastic trends in a system of exchange rates, Journal of Monetary Economics, 44, 167-81.
[2] Beine, et.al (2002). Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates, Applied Financial Economics, 12, 589-601.
[3] Bekaert, G and Harvey, C.R.(1997).“Emerging Market Volatility,” Journal of Financial Economics, 43: 29-77.
[4] Black, F. (1976). “Studies of Stock Market Volatility Changes”, Proceedings of the American Association, Business and Economic Statistics Section, pp. 177-181
[5] Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity, Journal of econometrics, 31,307-327.
[6] Bollerslev, T. (1987). A conditionally Heteroskedastic time series model for speculative prices and rates of return, review of economics & statistics, 69,542-7.
[7] Brook, C. and Burke, S.P. (2003). “Information Criteria for GARCH Model Selection:
[8] Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage, and nterest rate effect. Journal of financial economics, 10,407-432.
[9] Cont, R. (2001). Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance, 1, 223-236.
[10] Dowd, K. (2005). Measuring Market Risk. John Wiley & Sons Ltd, England.
[11] Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with estimates of the Variance of U.K inflation, Econometrica, 50,987-1008.
[12] Fama, E. (1965). “The Behavior of Stock Market Prices”, Journal of Business, 38 (1), 34-105.
[13] Fernandez, C. and Steel, M. (1998). On Bayesian modeling of fat tails and skewness, Journal of the America Statistical Association, 93,359-71.
[14] Harris, et.al (2004). Skewness in the conditional distribution of daily equity returns, Journal of Applied Financial Economics, 14,195-202.
[15] Mandelbrot. (1963).The variation of speculative prices. J.R. Stat. Soc. B47, 165-202.
[16] Poon, S.H. (2005). A practical Guide to forecasting financial market volatility. Wiley Finance, England.
[17] Taylor, S. (1994). “Modeling Stochastic Volatility: A Review and Comparative Study”, Mathematical Finance, 4, 183-204.