DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY?
Since the early 1990s, Albania has adopted the flexible exchange rate regime. A vast empirical literature on exchange rate is focused on modeling its volatility. In contrast, this paper provides empirical analysis regarding the news impact on the EUR/ALL exchange rate volatility, using TGARCH model...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, University of Tuzla
2015-05-01
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| Series: | Economic Review |
| Subjects: | |
| Online Access: | http://er.ef.untz.ba/index.php/er/article/view/127 |
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| Summary: | Since the early 1990s, Albania has adopted the flexible exchange rate regime. A vast empirical literature on exchange rate is focused on modeling its volatility. In contrast, this paper provides empirical analysis regarding the news impact on the EUR/ALL exchange rate volatility, using TGARCH model. We argue that the series has three important features of asset return proposed by the theory: unpredictability, fat tails and volatility clustering. The results show the existence and importance of news impact on exchange rate return.
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| ISSN: | 1512-8962 2303-680X |