DO THE NEWS AFFECT THE EUR/ALL EXCHANGE RATE VOLATILITY?

Gentjan Cera, Eda Dokle () and Edmond Çera ()
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Eda Dokle: Institute of Economic Studies
Edmond Çera: Faculty of Economy, University of Tirana

Economic Review: Journal of Economics and Business, 2015, vol. 13, issue 1, 21-28

Abstract: 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.

Keywords: Albanian lek; EUR/ALL; news impact; TGARCH (search for similar items in EconPapers)
JEL-codes: C58 F31 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:tuz:journl:v:13:y:2015:i:1:p:21-28

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