Annual maximum exchange rate in southeast asia based on methods of L-moment and maximum likelihood

Akbarizan, Akbarizan and Marizal, Muhammad and Yendra, Rado Yendra and Kusaeri, Kusaeri and Despina, Aripani and Ibrahim, Kamarulzaman and Fudholi, Fudholi (2016) Annual maximum exchange rate in southeast asia based on methods of L-moment and maximum likelihood. Research Journal of Applied Sciences, Engineering and Technology, 13 (4). pp. 273-276. ISSN 2040-7459

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Abstract

The main objective of this study is to determine the best fitting distribution to describe the annual series of maximum daily exchange rate from 1993 to 2013 for 4 countries in Southeast Asia based on L-moment and Maximum Likelihood (ML). Four three-parameter extreme-value distributions which are considered are Generalized Extreme Value (GEV), Generalized Logistic Distribution (GLD), Generalized Pareto Distribution (GPD) and Pearson III (P3). The estimation of parameters of these distributions is determined using the L-moment and maximum likelihood. The adequacy of the distributions based on parameter estimates computed using the two methods are evaluated using goodness-of-fit tests. When the goodness-of-fit results for these distributions are compared, it is found that, on the average, the performance of L-moment is better than the performance of maximum likelihood. Although the best fitting distribution may very according to the method of estimation and country considered, in most cases, data for the majority of the several countries are found to follow the generalized logistic distribution.

Item Type: Article
Additional Information: https://maxwellsci.com/jp/mspabstract.php?doi=rjaset.13.2942
Creators:
Creators
Email
NIDN
Akbarizan, Akbarizan
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Marizal, Muhammad
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Yendra, Rado Yendra
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Kusaeri, Kusaeri
kusaeri@uinsby.ac.id
2006077202
Despina, Aripani
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UNSPECIFIED
Ibrahim, Kamarulzaman
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Fudholi, Fudholi
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Uncontrolled Keywords: Annual maximum series; exchange rate; extreme exchange rate analysis; L-moment; maximum likelihood
Subjects: 14 ECONOMICS > 1402 Applied Economics > 140210 International Economics and International Finance
Divisions: Fakultas Ekonomi dan Bisnis ISlam > Ekonomi Syariah
Depositing User: Abdun Nashir
Date Deposited: 21 Sep 2021 13:15
Last Modified: 21 Sep 2021 13:15
URI: http://repository.uinsby.ac.id/id/eprint/1122

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