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DC Field | Value | Language |
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dc.contributor.author | Todri, Ardita | - |
dc.date.accessioned | 2021-01-12T06:29:44Z | - |
dc.date.available | 2021-01-12T06:29:44Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Todri, A. (2016). Approaching EUR/CHF exchange rate volatility in Albanian market. Journal of Corporate Governance, Insurance and Risk Management, 3(2), 88-100. | en_GB |
dc.identifier.issn | 2757-0983 | - |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/67009 | - |
dc.description.abstract | This paper explores the forecasting of EUR/CHF exchange rate volatility in short term period in Albanian market, being that Euro is the mostly used currency in financial and commercial transactions and furthermore together with Swiss franc are considered as safe currencies with a probabilistic volatility distribution statistically interesting. Precisely the latter, represents a continuous concern for the economic agents dealing with the above mentioned exchange risk, hence the measurement of its volatility helps them in the assessment and maintenance of capital needed for coverage purposes almost referring to trade balance trend toward Euro-Area and not as well as to the Eurobond issued. Under these circumstances, the financial time series dynamic models such as ARMA (1;1), ARCH (1) and GARCH (1;1) are used to estimate the EUR/CHF exchange rate volatility in short term period. The last one, which at 95% confidence level displays satisfactory statistical parameters in confront of the others in terms of normal residuals distribution is also used to forecast EUR/CHF exchange rate during 2015 in correspondence of moving average method based on latest 252 exchange rate values. In statistical terms the comparison of EUR/CHF exchange rate forecasted data through GARCH (1;1) model with the current ones demonstrated a good robustness of the latter at the confidence level taken into consideration. Therefore, the research in question suggests to the economic agents dealing with these kinds of transactions the implementation of GARCH models for the estimation and forecasting of EUR/CHF exchange rate volatility in the short term period, necessary for risk management purposes. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Governance Research and Development Centre, Croatia & University of Malta, Faculty of Economics, Management and Accountancy, Department of Insurance | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Foreign exchange rates -- Albania | en_GB |
dc.subject | Foreign exchange rates -- Forecasting | en_GB |
dc.subject | Time-series analysis | en_GB |
dc.subject | GARCH model | en_GB |
dc.title | Approaching EUR/CHF exchange rate volatility in Albanian market | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.publication.title | Journal of Corporate Governance, Insurance and Risk Management | en_GB |
Appears in Collections: | JCGIRM, Volume 3, Issue 2, 2016 |
Files in This Item:
File | Description | Size | Format | |
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JCGIRM3(2)A6.pdf | 350.05 kB | Adobe PDF | View/Open |
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