This project analyzed six NSE stocks (CTUM, EABL, EQTY, KCB, SAFARICOM, and KPLC) from January 2019 to June 2025. After sourcing the data, I explored price trends, computed log returns, and fitted ARMA models to establish the mean equations for GARCH. Using AIC and BIC, the GED distribution proved most suitable across all stocks. I then compared GARCH extensions (EGARCH, GJR-GARCH, FIGARCH) under GED and incorporated the best fits into an MRS-GARCH framework to capture regime shifts in volatility. Backtesting for Value at Risk (VaR) and Expected Shortfall (ES) showed that MRS-GARCH provided the most reliable forecasts, outperforming the standard and extended GARCH models.
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