TY  - JOUR
T1  - The Extreme Currency Exchange Rate in South East Asia Using
Classical and Bayesian Methods
AU - Adnan, Arisman AU - Yendra, Rado AU - Marizal, Muhammad AU - Fudholi, Ahmad 
JO  - Research Journal of Applied Sciences
VL  - 13
IS  - 12
SP  - 725
EP  - 728
PY  - 2018
DA  - 2001/08/19
SN  - 1815-932x
DO  - rjasci.2018.725.728
UR  - https://makhillpublications.co/view-article.php?doi=rjasci.2018.725.728
KW  - Extreme values
KW  -currency exchange rate
KW  -classical method
KW  -Bayesian method
KW  -three-parameters
KW  -distribution
KW  -classical approach
AB  - 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.
ER  -