Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193843
Authors: 
Çera, Gentjan
Dokle, Eda
Çera, Edmond
Year of Publication: 
2015
Citation: 
[Journal:] Economic Review: Journal of Economics and Business [ISSN:] 1512-8962 [Volume:] 13 [Year:] 2015 [Issue:] 1 [Pages:] 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.
Subjects: 
Albanian lek
EUR/ALL
news impact
TGARCH
JEL: 
F31
C58
Document Type: 
Article
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