THE EFFECT OF NEWS ON EXCHANGE RATE VOLATILITY IN IRAN: AN APPLICATION OF ARCH MODELS

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ABOU NOURI E.; KHANALIPOUR A.; ABBASI JAFAR

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: Iranian Journal of Trade Studies Year:2009 | Volume:13 | Issue:50 Page(s): 101-120

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Information Journal Paper

Title

THE EFFECT OF NEWS ON EXCHANGE RATE VOLATILITY IN IRAN: AN APPLICATION OF ARCH MODELS

Author(s)

ABOU NOURI E. | KHANALIPOUR A. | ABBASI JAFAR | Issue Writer Certificate

Keywords

NEWSQ2

CURRENCY RATEQ2

ASYMMETRYQ2

GARCHQ2

EGARCHQ3

TARCH APGARCHQ2

Abstract

The main purpose in this article has been to evaluate the exchange rate volatility in Iran using the family of the ARCH models. Doing so, the symmetric GARCH and asymmetric TARCH, EGARCH and APGARCH models are applied. The results have indicated that the volatility caused by the bad (negative) NEWS is relatively larger than that caused by the good (positive) NEWS.

Cites

References

TEST OF LEVERAGE EFFECT IN TEHRAN STOCK EXCHANGE

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APA: Copy

ABOU NOURI, E., KHANALIPOUR, A., & ABBASI, JAFAR. (2009). THE EFFECT OF NEWS ON EXCHANGE RATE VOLATILITY IN IRAN: AN APPLICATION OF ARCH MODELS. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 13(50), 101-120. SID. https://sid.ir/paper/7498/en

Vancouver: Copy

ABOU NOURI E., KHANALIPOUR A., ABBASI JAFAR. THE EFFECT OF NEWS ON EXCHANGE RATE VOLATILITY IN IRAN: AN APPLICATION OF ARCH MODELS. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2009;13(50):101-120. Available from: https://sid.ir/paper/7498/en

IEEE: Copy

E. ABOU NOURI, A. KHANALIPOUR, and JAFAR ABBASI, “THE EFFECT OF NEWS ON EXCHANGE RATE VOLATILITY IN IRAN: AN APPLICATION OF ARCH MODELS,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 13, no. 50, pp. 101–120, 2009, [Online]. Available: https://sid.ir/paper/7498/en

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