Modelling the Dependency between Inflation and Exchange Rate Using Copula

Table 10

Estimated copulas’ parameter estimates and goodness-of-fit criteria values.

Copula	Parameter		Goodness of fit		Kendall’s
	Gaussian	0.06		4.66		0.38	0.073
Student	0.07	4.5	−8.28	9.57	0.072
Clayton	0.1		5.43	0	0.071
Gumbel	1		5.43	0	0.071
Frank	0.27		0.36	4.71	0.070
Joe	1.2		5.43	0	0.070
BB1	0.12	2.1	10.89	−0.02	0.077
BB6	1	1	10.90	−0.02	0.079
BB7	0.2	0.5	10.87	−0.01	0.079
BB8	1	0	10.79	0	0.072