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- W1040631504 abstract "Thispaper considers the problem of estimating volatility using conditional quantile autoregression. We estimate the interquantile autoregression range and the scale function under known distributional assumptions. We consider a case study of the Kenyan stock market in our estimation of market risk volatility. An exploratory data analysis performed on the NSE 20 Share Trade Index returnsindicated that returns are heavy tailed." @default.
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- W1040631504 date "2014-02-28" @default.
- W1040631504 modified "2023-09-26" @default.
- W1040631504 title "Estimating Market Risk Volatility with Conditional InterQuantile Autoregression Range for Stock Market Study" @default.
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