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) |