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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| Format: | Article |
| Language: | English |
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Faculty of Economics, University of Tuzla
2015-05-01
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| Series: | Economic Review |
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| Online Access: | http://er.ef.untz.ba/index.php/er/article/view/127 |
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| _version_ | 1823861258360717312 |
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| author | Gentjan ÇERA Eda DOKLE Edmond ÇERA |
| author_facet | Gentjan ÇERA Eda DOKLE Edmond ÇERA |
| author_sort | Gentjan ÇERA |
| collection | DOAJ |
| description |
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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| format | Article |
| id | doaj-art-6cf078e7d87c4bb2b794096896c87bc2 |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2015-05-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-6cf078e7d87c4bb2b794096896c87bc22025-02-10T00:31:18ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2015-05-01131DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY?Gentjan ÇERA0Eda DOKLE1Edmond ÇERA2Faculty of Economy and Agribusiness Institute of Economic Studies, Charles University in PragueFaculty of Economy, University of Tirana 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. http://er.ef.untz.ba/index.php/er/article/view/127Albanian lekEUR/ALLnews impactGARCH |
| spellingShingle | Gentjan ÇERA Eda DOKLE Edmond ÇERA DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? Economic Review Albanian lek EUR/ALL news impact GARCH |
| title | DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? |
| title_full | DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? |
| title_fullStr | DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? |
| title_full_unstemmed | DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? |
| title_short | DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY? |
| title_sort | do the news affect the eur all exchange rate volatility |
| topic | Albanian lek EUR/ALL news impact GARCH |
| url | http://er.ef.untz.ba/index.php/er/article/view/127 |
| work_keys_str_mv | AT gentjancera dothenewsaffecttheeurallexchangeratevolatility AT edadokle dothenewsaffecttheeurallexchangeratevolatility AT edmondcera dothenewsaffecttheeurallexchangeratevolatility |