Universal Journal of Computational Mathematics(CEASE PUBLICATION) Vol. 4(4), pp. 75 - 78
DOI: 10.13189/ujcmj.2016.040404
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Modeling the Volatility of US Dollar/Albanian Lekё Exchange Rate

Rozana Liko ^*, Artion Kashuri
Department of Mathematics, University "Ismail Qemali", Albania

ABSTRACT

The aim of this paper is to investigate the volatility of USD/ALL daily exchange rate using generalized autoregressive conditional heteroscedasticity model. The data set used in this study cover a period from 5 January 2010 to 30 April 2015. Autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), threshold generalized autoregressive conditional heteroscedasticity (TGARCH), and exponential GARCH (EGARCH) model are applied to model the volatility of daily exchange rate return. The main result is that volatility of exchange rate return is affected by past volatility, and exchange return of USD/ALL is well modeled by this model.

KEYWORDS
Exchange Rate, Volatility, ARCH, GARCH, EGARCH, TGARCH

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Rozana Liko , Artion Kashuri , "Modeling the Volatility of US Dollar/Albanian Lekё Exchange Rate," Universal Journal of Computational Mathematics(CEASE PUBLICATION), Vol. 4, No. 4, pp. 75 - 78, 2016. DOI: 10.13189/ujcmj.2016.040404.

(b). APA Format:
Rozana Liko , Artion Kashuri (2016). Modeling the Volatility of US Dollar/Albanian Lekё Exchange Rate. Universal Journal of Computational Mathematics(CEASE PUBLICATION), 4(4), 75 - 78. DOI: 10.13189/ujcmj.2016.040404.