Research Journal of Applied Sciences
ISSN: Online 1993-6079ISSN: Print 1815-932x
Abstract
The exchange rates of four currencies in South Asia depend on the Foreign exchange market among those countries. In most cases, the best fitting distribution of exchange rates are found to follow the generalized logistic distribution. Now, we seek for the best distribution to describe the extreme daily exchange rate from 1993-2013 for 4 countries in Southeast Asia using the classical and Bayesian methods. We use the maximum likelihood method for classical approach while Generalized Extreme Value (GEV) distribution and generalized logistic distribution for Bayesian approach. The estimate of the three-parameters of extreme values distribution have been compared using goodness-of-fit test. The tests show us that there is no significant difference of parameter estimated between these two distributions. Furthermore, the best distribution for fitting the model of these exchange rates is GEV.
How to cite this article:
Arisman Adnan, Rado Yendra, Muhammad Marizal and Ahmad Fudholi. The Extreme Currency Exchange Rate in South East Asia Using
Classical and Bayesian Methods.
DOI: https://doi.org/10.36478/rjasci.2018.725.728
URL: https://www.makhillpublications.co/view-article/1815-932x/rjasci.2018.725.728