Research Article | OPEN ACCESS
Annual Maximum Exchange Rate in Southeast Asia Based on Methods of L-moment and Maximum Likelihood
1Akbarizan, 2Muhammad Marizal, 2Rado Yendra, 3Kusaeri, 2Aripani Despina, 4Kamarulzaman Ibrahim and 5Ahmad Fudholi
1Department of Law and Syari’ah,
2Department of Mathematics, Faculty of Science and Technology, Universitas Islam Sultan Syarif Kasim (UIN Suska), 28293 Pekanbaru, Riau,
3Department of Mathematics and Science Education, Faculty of Education and Teacher Training, Islamic State University of Sunan Ampel, Surabaya, Indonesia
4School of Mathematical Sciences, Faculty of Science and Technology,
5Solar Energy Research Institute, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia
Research Journal of Applied Sciences, Engineering and Technology 2016 4:273-276
Received: May ‎11, ‎2015 | Accepted: ‎June ‎22, ‎2015 | Published: August 15, 2016
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.
Keywords:
Annual maximum series, exchange rate, extreme exchange rate analysis, L-moment, maximum likelihood,
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Competing interests
The authors have no competing interests.
Open Access Policy
This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Copyright
The authors have no competing interests.
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ISSN (Print): 2040-7459 |
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