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)