Parameters

USD/KES

UKP/KES

EUR/KES

SAR/KES

Upper Tail

Number of Observations

1621

1695

1711

1769

EVT threshold (u)

1.156

1.2385

1.23326

1.19643

ξ Shape parameter

0.16375

0.04022

0.07041

−0.08533

β Scale parameter

0.64138

0.54276

0.56561

0.51586

Lower Tail

Number of Observations

1854

1780

1764

1706

EVT threshold (u)

−1.13398

−1.18072

−1.18866

−1.29103

ξ Shape parameter

0.17137

0.05174

−0.00308

0.07403

β Scale parameter

0.60968

0.56075

0.53815

0.53738