ISSN 2756-3308
African Journal of Estate and Property Management ISSN 9671-8498 Vol. 4 (5), pp. 001-008, May, 2017. © International Scholars Journals
Full Length Research Paper
Modelling the volatility of exchange rates in the Kenyan market
Isaya Maana1, Peter N. Mwita 2* 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.
Accepted 18 January, 2017
Abstract
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 was used and asymptotic properties of the estimators were given. Exploratory data analysis performed indicated that the returns are heavy tailed. It was found that the estimated model fits the exchange rates return data well.
Key words: Volatility, exchange, returns, autoregressive, heteroscedasticity, likelihood, quasi, maximum, estimator.