The behavior of large changes in Asian exchange rates

This study examines the distribution of extreme values over horizons ranging from a week to a year in daily exchange rate changes of the ten most important Asian countries. While most of these distributions can be represented by the Frechet distribution, unlike distributions of equity returns or exchange rates of major countries, some may be Gumbel distributions. The tail index estimates of these distributions seem robust to the choice of the numeriare currency, the Asian currency crises, and the 1985 Plaza Agreement. Finally, the VaRs based on fitted extreme distributions are generally similar to those based on historical distributions but are many multiples of those based on normal distributions.