Parameters | USD/KES | UKP/KES | EUR/KES | SAR/KES |
μ | 0.005312 (0.002623) | 0.007336 (0.009107) | 0.000780 (0.008484) | −0.000377 (0.013242) |
AR(1) | 0.364453 (0.137367) | 0.365605 (0.269765) | 0.461829 (0.137387) | 0.844281 (0.082061) |
MA(1) | −0.421085 (0.133266) | −0.408384 (0.264360) | −0.525425 (0.131295) | −0.873874 (0.074707) |
ω | 0.000997 (0.000265) | 0.004247 (0.001625) | 0.002077 (0.000809) | 0.016105 (0.005324) |
α1 | 0.142435 (0.017251) | 0.052033 (0.010827) | 0.038267 (0.005832) | 0.033645 (0.011252) |
β1 | 0.862056 (0.014952) | 0.938991 (0.011378) | 0.952980 (0.003726) | 0.935587 (0.012627) |
γ1 | −0.010982 (0.019326) | 0.002378 (0.011923) | 0.011861 (0.009385) | 0.032791 (0.012164) |
Shape | 3.793270 (0.207187) | 7.413249 (0.863450) | 7.218313 (0.839434) | 10.462478 (1.594020) |