Kenyan Securities Market Unveiled: Economy Divided into Volatility Regimes
The article models volatility in the Kenyan securities market using Hidden Markov Models. They analyzed data from the Nairobi Securities Exchange to identify different volatility regimes. By using the Hidden Markov model and the EM algorithm, they found that the economy can be divided into periods of very high, high, low, and very low volatility. This helps in understanding and predicting fluctuations in the market.