VaRp | VaR0.95 | VaR0.975 | VaR0.99 | VaR0.995 | VaR0.999 | |||||||
KES/USD | Left Tail | Right Tail | Left Tail | Right Tail | Left Tail | Right Tail | Left Tail | Right Tail | Left Tail | Right Tail | ||
Normal | 0.000 | 0.000 | 0.002 | 0.000 | 0.063 | 0.167 | 0.000 | 0.251 | 0.000 | 0.558 | ||
HS | 0.000 | 0.000 | 0.004 | 0.000 | 0.096 | 0.000 | 0.000 | 0.001 | 0.000 | 0.000 | ||
FHS | 0.359 | 0.248 | 0.635 | 0.756 | 0.805 | 0.994 | 0.312 | 0.724 | 0.323 | 0.032 | ||
RiskMetrics | 0.908 | 0.488 | 0.068 | 0.193 | 0.039 | 0.205 | 0.035 | 0.035 | 0.002 | 0.008 | ||
GARCH-n | 0.005 | 0.001 | 0.841 | 0.287 | 0.142 | 0.516 | 0.000 | 0.113 | 0.000 | 0.000 | ||
GARCH-t | 0.753 | 0.853 | 0.090 | 0.841 | 0.391 | 0.660 | 0.874 | 0.880 | 0.398 | 0.946 | ||
GJR-GARCH-n | 0.007 | 0.001 | 0.440 | 0.440 | 0.142 | 0.287 | 0.001 | 0.035 | 0.000 | 0.000 | ||
GJR-GARCH-t | 0.753 | 0.988 | 0.300 | 0.621 | 0.391 | 0.504 | 0.880 | 0.637 | 0.000 | 0.946 | ||
EVT | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.001 | 0.001 | 0.000 | 0.000 | ||
GARCH-GPD | 0.867 | 0.768 | 0.544 | 0.435 | 0.759 | 0.677 | 0.743 | 0.733 | 0.453 | 0.876 | ||
KES/UKP |
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Normal | 0.001 | 0.016 | 0.079 | 0.775 | 0.795 | 0.036 | 0.107 | 0.004 | 0.002 | 0.002 | ||
HS | 0.539 | 0.180 | 0.108 | 0.473 | 0.269 | 0.018 | 0.436 | 0.655 | 0.955 | 0.955 | ||
FHS | 0.366 | 0.310 | 0.186 | 0.077 | 0.032 | 0.836 | 0.050 | 0.703 | 0.030 | 0.030 | ||
RiskMetrics | 0.609 | 0.217 | 0.056 | 0.668 | 0.686 | 0.858 | 0.855 | 0.899 | 0.550 | 0.955 | ||
GARCH-n | 0.048 | 0.693 | 0.388 | 0.104 | 0.132 | 0.008 | 0.033 | 0.000 | 0.000 | 0.000 | ||
GARCH-t | 0.121 | 0.489 | 0.313 | 0.274 | 0.269 | 0.271 | 0.655 | 0.289 | 0.238 | 0.955 | ||
GJR-GARCH-n | 0.028 | 0.621 | 0.388 | 0.032 | 0.089 | 0.001 | 0.033 | 0.000 | 0.000 | 0.000 | ||
GJR-GARCH-t | 0.180 | 0.324 | 0.388 | 0.059 | 0.386 | 0.271 | 0.655 | 0.107 | 0.087 | 0.550 | ||
EVT | 0.048 | 0.609 | 0.004 | 0.891 | 0.035 | 0.386 | 0.062 | 0.436 | 0.404 | 0.955 | ||
GARCH-GPD | 0.541 | 0.546 | 0.378 | 0.345 | 0.542 | 0.499 | 0.845 | 0.567 | 0.764 | 0.772 | ||
KES/EUR |
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Normal | 0.001 | 0.001 | 0.442 | 0.023 | 0.514 | 0.662 | 0.299 | 0.873 | 0.089 | 0.243 | ||
HS | 0.066 | 0.018 | 0.006 | 0.000 | 0.003 | 0.003 | 0.022 | 0.059 | 0.399 | 0.947 | ||
FHS | 0.891 | 0.927 | 0.987 | 0.624 | 0.796 | 0.151 | 0.311 | 0.311 | 0.322 | 0.032 | ||
RiskMetrics | 0.018 | 0.052 | 0.098 | 0.034 | 0.506 | 0.060 | 0.873 | 0.131 | 0.558 | 0.558 | ||
GARCH-n | 0.005 | 0.778 | 0.631 | 0.844 | 0.204 | 0.659 | 0.035 | 0.873 | 0.000 | 0.028 | ||
GARCH-t | 0.031 | 0.475 | 0.361 | 0.631 | 0.993 | 0.016 | 0.646 | 0.423 | 0.089 | 0.089 | ||
GJR-GARCH-n | 0.018 | 0.676 | 0.532 | 0.933 | 0.204 | 0.832 | 0.035 | 0.646 | 0.000 | 0.008 | ||
GJR-GARCH-t | 0.104 | 0.163 | 0.442 | 0.933 | 0.659 | 0.168 | 0.873 | 0.423 | 0.089 | 0.243 | ||
EVT | 0.007 | 0.031 | 0.098 | 0.023 | 0.032 | 0.000 | 0.059 | 0.022 | 0.398 | 0.000 | ||
GARCH-GPD | 0.876 | 0.422 | 0.675 | 0.766 | 0.567 | 0.786 | 0.457 | 0.785 | 0.758 | 0.354 | ||
KES/SAR |
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Normal | 0.000 | 0.004 | 0.015 | 0.844 | 0.662 | 0.142 | 0.646 | 0.009 | 0.008 | 0.000 | ||
HS | 0.491 | 0.009 | 0.361 | 0.034 | 0.164 | 0.662 | 0.639 | 0.873 | 0.558 | 0.947 | ||
FHS | 0.415 | 0.139 | 0.339 | 0.064 | 0.458 | 0.036 | 0.103 | 0.311 | 0.032 | 0.008 | ||
RiskMetrics | 0.001 | 0.857 | 0.009 | 0.955 | 0.104 | 0.659 | 0.251 | 0.646 | 0.000 | 0.398 | ||
GARCH-n | 0.002 | 0.417 | 0.070 | 0.013 | 0.993 | 0.000 | 0.873 | 0.000 | 0.947 | 0.000 | ||
GARCH-t | 0.007 | 0.136 | 0.015 | 0.027 | 0.032 | 0.040 | 0.022 | 0.113 | 0.000 | 0.558 | ||
GJR-GARCH-n | 0.004 | 0.826 | 0.227 | 0.037 | 0.993 | 0.001 | 0.423 | 0.000 | 0.947 | 0.000 | ||
GJR-GARCH-t | 0.018 | 0.269 | 0.050 | 0.067 | 0.016 | 0.062 | 0.222 | 0.064 | 0.000 | 0.243 | ||
EVT | 0.000 | 0.052 | 0.000 | 0.132 | 0.001 | 0.104 | 0.022 | 0.639 | 0.947 | 0.947 | ||
GARCH-GPD | 0.867 | 0.437 | 0.446 | 0.765 | 0.745 | 0.778 | 0.533 | 0.741 | 0.645 | 0.987 | ||