Measuring Volatility of Nairobi Stock Exchange Using Garch and Egarch Models
ASSESMENT OF CONSISTENCY OF THE NSE ALL SHARE INDEX AND NSE 20 SHARE INDEX IN MEASURING THE NAIROBI SECURITIES EXHANGE CHARACTERISTICS
OSORE DAVID LUVEMBE
A Research Proposal Submitted To The Department Of Business Administration In Partial
Fulfillment Of The Requirement For The Award Of The Degree Of Bachelor Of Commerce
Of Chuka University College
CHUKA UNIVERSITY COLLEGE
NOVEMBER 2011
DECLARATION AND RECOMMENDATION
Declaration:
I declare that this project is my own original work and has not been presented for award of any degree in this or any other university.
Signed:…………………………… Date……………………………..
OSORE DAVID LUVEMBE.
C12/60097/08 OR BB1/0096/08.
Recommendation
This research has been submitted for examination with my approval as University Supervisor.
Signature………………………… Date………………………………
MR.WAGALA, A,
Department of business administration.
Chuka University College.
ABSTRACT
TABLEOF CONTENTS DECLARATION AND RECOMMENDATION II ABSTRACT III TABLEOF CONTENTS IV ABBREVIATIONS AND ACRONYMS VII CHAPTER ONE 1 INTRODUCTION 1 1.2 Statement of the problem. 3 1.3 Purpose of the study. 3 1.4 Objectives. 3 1.5 Hypothesis. 3 1.6 Significance of the study 3 1.7 Scope of the study. 3 1.8 Limitation of the study 4 CHAPTER TWO 4 LITERATURE REVIEW 4 2.1 History of the NSE 4 2.2 The role of the Nairobi Securities Exchange 6 2.3 ARCH model 7 2.5 GARCH model. 8 2.6 EGARCH model. 9 2.7 Indices study for the Nairobi Securities Exchange and the New York Securities Exchange. 10 2.7.1 Index calculation methodology 10 2.7.2 Index formula. 11 2.7.3 computational precision. 11 2.7.4 Data correction policy 12 CHAPTER THREE 13 RESEARCH METHODOLOGY 13 3.1 introduction 13 3.2 research design 13 CHAPTER FOUR 14 RESULTS AND DISCUSSION 14 4.1 introduction 14 4.2 Preliminary analysis. 14 Figure 4.1 14 Figure 4.2 15 Table 4.3 16 Table 4.4 16 4.2 Summery statistics 17 Table 1. 17
OSORE DAVID LUVEMBE
A Research Proposal Submitted To The Department Of Business Administration In Partial
Fulfillment Of The Requirement For The Award Of The Degree Of Bachelor Of Commerce
Of Chuka University College
CHUKA UNIVERSITY COLLEGE
NOVEMBER 2011
DECLARATION AND RECOMMENDATION
Declaration:
I declare that this project is my own original work and has not been presented for award of any degree in this or any other university.
Signed:…………………………… Date……………………………..
OSORE DAVID LUVEMBE.
C12/60097/08 OR BB1/0096/08.
Recommendation
This research has been submitted for examination with my approval as University Supervisor.
Signature………………………… Date………………………………
MR.WAGALA, A,
Department of business administration.
Chuka University College.
ABSTRACT
TABLEOF CONTENTS DECLARATION AND RECOMMENDATION II ABSTRACT III TABLEOF CONTENTS IV ABBREVIATIONS AND ACRONYMS VII CHAPTER ONE 1 INTRODUCTION 1 1.2 Statement of the problem. 3 1.3 Purpose of the study. 3 1.4 Objectives. 3 1.5 Hypothesis. 3 1.6 Significance of the study 3 1.7 Scope of the study. 3 1.8 Limitation of the study 4 CHAPTER TWO 4 LITERATURE REVIEW 4 2.1 History of the NSE 4 2.2 The role of the Nairobi Securities Exchange 6 2.3 ARCH model 7 2.5 GARCH model. 8 2.6 EGARCH model. 9 2.7 Indices study for the Nairobi Securities Exchange and the New York Securities Exchange. 10 2.7.1 Index calculation methodology 10 2.7.2 Index formula. 11 2.7.3 computational precision. 11 2.7.4 Data correction policy 12 CHAPTER THREE 13 RESEARCH METHODOLOGY 13 3.1 introduction 13 3.2 research design 13 CHAPTER FOUR 14 RESULTS AND DISCUSSION 14 4.1 introduction 14 4.2 Preliminary analysis. 14 Figure 4.1 14 Figure 4.2 15 Table 4.3 16 Table 4.4 16 4.2 Summery statistics 17 Table 1. 17
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