| dc.contributor.author | Wagala, Adolphus | |
| dc.contributor.author | Islam, Ali S. | |
| dc.contributor.author | Nassiuma, Dankit K. | |
| dc.date.accessioned | 2019-12-16T10:16:07Z | |
| dc.date.available | 2019-12-16T10:16:07Z | |
| dc.date.issued | 2012-06 | |
| dc.identifier.citation | International Journal of Applied Science and Technology Vol. 2 No. 6; June 2012 | en_US |
| dc.identifier.uri | https://pdfs.semanticscholar.org/aa5b/1d383a58498b299e3fa2ef79c63bc942721f.pdf?_ga=2.77886742.303197352.1576491023-827413207.1574176929 | |
| dc.identifier.uri | http://repository.chuka.ac.ke/handle/chuka/573 | |
| dc.description.abstract | In this paper, the weekly returns of the Nairobi Securities Market (NSE) are modelled using bilinear models and
the bilinear-GARCH models so as to determine the most efficient and adequate model for forecasting of the
Nairobi Equity market. The data used was obtained from the Nairobi Stock Exchange (NSE) for the period
between 3rd June 1996 to 31st 30th October 2011for the company share prices while for the NSE 20-share index
was for period between 2nd March 1998 to 30th October 2011.The share prices for three companies; Bamburi
Cement, National Bank of Kenya and Kenya Airways which were selected at random from each of the three main
sectors as categorized in the Nairobi Stock Exchange were used. The results indicate that the combination of
bilinear-GARCH model is more adequate and efficient in modelling the weekly returns of the Nairobi Securities
Exchange. | en_US |
| dc.language.iso | en | en_US |
| dc.subject | Bilinear, | en_US |
| dc.subject | Efficiency, | en_US |
| dc.subject | GARCH, | en_US |
| dc.subject | Bilinear-GARCH | en_US |
| dc.title | Efficiency Evaluation When Modelling Nairobi Security Exchange Data Using Bilinear and Bilinear-Garch (Bl-Garch) Models | en_US |
| dc.type | Article | en_US |
