Estimating and forecasting the volatility of a Kenyan Finance Time-series using ARCH Models

Abstract

The goal of this study is to present an empirical analysis of the return and conditional variance of two Kenyan finance series using models of the ARCH class. To help understanding the empirical results, a critical review of ARCH models is presented. Empirical results obtained show that both series share ARCH and are leptokurtic relative to the normal.The exchange rate returns explain 12 % of Uchumi returns.