Abstract:
ABSTRACT
Research work examines the accuracy and forecasting performance of volatility models for
the KES/USD exchange rate return in Kenya using the EGARCH and TARCH. In fitting
these models to the daily and monthly exchange rate returns data collected from CBK which
extended from the period January 2008 to December 2015, In this study, performance of
Time series models ( asymmetric EGARCH and TARCH models) in forecasting the
volatility behavior of Kenya FOREX market was examined. Daily FOREX rates data,
ranging from January, 2008 to December, 2015 was put to statistical manipulation to
examine the FOREX volatility behavior in Kenya.
