This repository contains projects that work with Kenyan financial market data to simulate relationships and behaviour of exchange rates against other top currencies. The data spans from January 2010 to June 2022 resulting in a total of 150 observations.Tools used include Markov Switching Models, ARCH and GARCH models.
The first do-file served an objective: To analyze volatility in foreign exchange rate of the Kenyan shilling against the USD, Sterling Pound and the Euro. It contains tests for ARCH effects, asymmetry and results from GARCH models.
The second do-file's objective was: To use a Markov switching model to detect regime shifts in Kenyan exchange rates. It contains the tests for structural break and results from the Markov switching model.