Parameters

USD/KES

UKP/KES

EUR/KES

SAR/KES

Right Tail

Number of Observations

1552

1571

1538

1537

EVT threshold (u)

1.80

1.75

1.60

1.78

Exceedances

137

125

152

150

% of Exceedances

8.83

7.96

9.88

9.76

GPD shape parameter

(s.e.)

0.4272

(0.12028)

0.1107

(0.08759)

0.1210

(0.09050)

0.1566

(0.08789)

GPD scale parameter

(s.e.)

0.6424

(0.09182)

0.5572

(0.06953)

0.4809

(0.05826)

0.5796

(0.06913)

Left Tail

Number of Observations

1545

1510

1558

1559

EVT threshold (u)

1.70

1.55

1.75

1.85

Exceedances

159

162

123

136

% of Exceedances in-sample

10.29

10.73

7.89

8.72

GPD shape parameter

(s.e.)

0.02248

(0.08855)

0.06125

(0.08878)

0.1005

(0.09564)

0.06398

(0.10290)

GPD scale parameter

(s.e.)

1.01076

(0.12015)

0.54856

(0.06498)

0.7174

(0.09408)

0.51080

(0.06836)