期刊名称：Economic Review : Journal of Economics and Business
印刷版ISSN：1512-8962
出版年度：2015
卷号：XIII
期号：1
页码：21-28
出版社：University of Tuzla
摘要：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.
