Jumps in the Kenyan Interest Rates
Abstract/
— In this paper, we use the Bernoulli Jump Diffusion
(BJD) process to test for the existence and probability of jumps
in the Kenyan interest rates. We test these using the Maximum
Likelihood Estimation (MLE) method on the weekly changes in
the 91 day Kenyan treasury bills rates. We also compare the
BJD process and the Pure Diffusion Process (PDP) in modeling
these interest rates. We use the statistical software Eviews 6 to
analyze the data.