Risk Estimation in Exchange Rate Markets Based on Stochastic Copula Approach

Table 1

Descriptive statistics of the exchange rate returns.

	USD/TRY	EUR/TRY	JPY/TRY
Mean	0.00045	0.00039	0.00048
Std. dev.	0.00975	0.00921	0.01238
Skewness	1.34919	1.04213	0.80030
Kurtosis	21.71060	20.34435	12.47604
JB stat.	69671	60881	23033
P value	<0.001	<0.001	<0.001