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Do The News Affect The Eur/All Exchange Rate Volatility?

Author

Listed:
  • Gentjan ÇERA

    (Faculty of Economy and Agribusiness)

  • Eda Dokle

    (Institute of Economic Studies)

  • Edmond Çera

    (Faculty of Economy, University of Tirana)

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.

Suggested Citation

  • Gentjan ÇERA & Eda Dokle & Edmond Çera, 2015. "Do The News Affect The Eur/All Exchange Rate Volatility?," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 13(1), pages 21-28, May.
    • Handle: RePEc:tuz:journl:v:13:y:2015:i:1:p:21-28
    as

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    References listed on IDEAS

    as
    1. Mundaca, B Gabriela, 1991. " The Volatility of the Norwegian Currency Basket," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(1), pages 53-73.
    2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Albanian lek; EUR/ALL; news impact; TGARCH;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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