International Journal of Social Science & Economic Research
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Title:
ESTABLISHING WHICH ARCH FAMILY MODEL COULD BEST EXPLAIN VOLATILITY OF SHORT TERM INTEREST RATES IN KENYA.

Authors:
Kweyu Suleiman


Volume - 2 Issue - 4, Pages - 3055-3067

Abstract:
The relationship between short-term interest rate volatility and interest rate levels has been widely documented. This study focused on establishing the connection between the level of interest and the volatility of interest rates in Kenya using data from December 1994 to December 2014. The main variable for the study was the short term interest rate series. The results of the study were consistent with the hypothesis that the volatility is positively correlated with the level of the short term interest rate as documented by previous empirical studies.

Cite this Article:

[Suleiman, Kweyu. "ESTABLISHING WHICH ARCH FAMILY MODEL COULD BEST EXPLAIN VOLATILITY OF SHORT TERM INTEREST RATES IN KENYA." International Journal of Social Science & Economic Research 2.4 (2017): 3055-067.]

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