Browsing Physics by Author "Mwangi, Jesse W."
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Volatility Modelling of the Nairobi Securities Exchang
Wagala, Adolphus; Nassiuma, Dankit K.; Islam, Ali S.; Mwangi, Jesse W. (2012-03)In this paper we identify the most efficient ARCH-type model that can be applied to the Nairobi stock exchange data for forecasting and prediction of volatility which in turn is important in pricing financial derivative ...