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文章基本信息

  • 标题:Modelling the volatility of exchange rates in the Kenyan market
  • 本地全文:下载
  • 作者:Isaya Maana ; Peter N. Mwita ; Romanus Odhiambo
  • 期刊名称:African Journal of Business Management
  • 印刷版ISSN:1993-8233
  • 出版年度:2010
  • 卷号:4
  • 期号:7
  • 页码:1401-1408
  • 语种:English
  • 出版社:Academic Journals
  • 摘要:This paper considers the application of the generalized autoregressive conditional heteroscedasticity process in the estimation of volatility in the Kenyan exchange rates. A quasi-maximum likelihood estimation procedure is used and asymptotic properties of the estimators given. Exploratory data analysis performed indicates the returns are heavy tailed. It is found that the estimated model fits the exchange rates return data well.
  • 关键词:Volatility;exchange;returns;autoregressive;heteroscedasticity;likelihood;quasi;maximum;estimator
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