ESTIMATION OF EXTREME VALUE AT RISK IN RWANDA EXCHANGE RATE

dc.contributor.author	Ntawihebasenga, Jean de Dieu
dc.contributor.author	Mwita, Peter N.
dc.contributor.author	Mung’atu, J.K.
dc.date.accessioned	2018-11-15T11:50:29Z
dc.date.available	2018-11-15T11:50:29Z
dc.date.issued	2014-12
dc.identifier.issn	2055-0154(Print)
dc.identifier.issn	2055-0162(Online)
dc.identifier.uri	http://ir.mksu.ac.ke/handle/123456780/1583
dc.description.abstract	Estimating the probability of rare and extreme events is a crucial issue in the risk estimation of exchange rate returns. Extreme Value Theory (EVT) is a well-developed theory in the field of probability that studies the distribution of extreme realizations of a given distribution function, or of a stochastic process, satisfying certain assumptions. This work has fitted the Generalized Pareto Distribution (GPD) to the excess returns assuming the residuals are independent and identically distributed. The results are used to estimate extreme Value at Risk (VaR) in Rwanda exchange rate process. KEYWORDS: Exchange rate, EVT approach, Generalized Pareto Distribution, Value at Risk, Maximum Likelihood Estimation, Confidence intervals	en_US
dc.language.iso	en_US	en_US
dc.publisher	European Centre for Research Training and Development UK	en_US
dc.subject	Exchange rate	en_US
dc.title	ESTIMATION OF EXTREME VALUE AT RISK IN RWANDA EXCHANGE RATE	en_US
dc.type	Article	en_US

School of Pure and Applied Sciences [259]
Scholarly Articles by Faculty & Students in the School of Pure and Applied Sciences