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Full Length Research Paper
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Modelling the volatility
of exchange rates in the Kenyan market
Isaya Maana1, Peter N. Mwita2* and
Romanus Odhiambo2
1Central
Bank of Kenya, P. O. Box 60000-00200, Kenya.
2Department
of Statistics and Actuarial Sciences, Jomo Kenyatta
University of Agriculture and Technology, P. O. Box
62000-00200, Nairobi, Kenya.
*Corresponding author. E-mail:
peter_mwita@yahoo.com.
Tel: +254721429770, +254-67-52218.
Accepted 28 May, 2010 |
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Abstract |
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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.
Key words:
Volatility, exchange, returns, autoregressive,
heteroscedasticity, likelihood, quasi, maximum, estimator. |
