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- W2000396071 abstract "Purpose – The paper seeks to investigate the relationship between stock volatility and returns in the Nairobi Stock Exchange, Kenya. It uses daily returns data over the period January 2006 to April 2009.Design/methodology/approach – Empirical analysis is based on quantitative analysis with emphasis on descriptive statistics, and advanced econometrics models which are well suited to capture the time‐varying volatility. The models utilised in this study fall into the family of generalised autoregressive conditional heteroscedasticity models.Findings – The main findings of the paper are as follows: the equities returns are symmetric but leptokurtic and thus not normally distributed; volatility of returns is highly persistent; the leverage effects are not significant; and the impact of news on volatility is not significantly asymmetric.Practical implications – The findings of this paper will aid policy makers, policy analysts, investors, and academics to gain in‐depth understanding of dynamics of the equities..." @default.
- W2000396071 created "2016-06-24" @default.
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- W2000396071 date "2010-02-01" @default.
- W2000396071 modified "2023-09-24" @default.
- W2000396071 title "Modelling the time‐varying volatility of equities returns in Kenya" @default.
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- W2000396071 doi "https://doi.org/10.1108/20400701011073482" @default.
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