Çera, Gentjan; Dokle, Eda; Çera, Edmond - In: Economic review : journal of economics & business 13 (2015) 1, pp. 21-28
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 …