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.
abonori, E., khanalipour, A., & abasi, J. (2009). The Effect of News on Exchange Rate Volatility in Iran:
An Application of ARCH Models. Iranian Journal of Trade Studies, 13(50), 101-120.
MLA
esmaeil abonori; amir khanalipour; jafar abasi. "The Effect of News on Exchange Rate Volatility in Iran:
An Application of ARCH Models". Iranian Journal of Trade Studies, 13, 50, 2009, 101-120.
HARVARD
abonori, E., khanalipour, A., abasi, J. (2009). 'The Effect of News on Exchange Rate Volatility in Iran:
An Application of ARCH Models', Iranian Journal of Trade Studies, 13(50), pp. 101-120.
VANCOUVER
abonori, E., khanalipour, A., abasi, J. The Effect of News on Exchange Rate Volatility in Iran:
An Application of ARCH Models. Iranian Journal of Trade Studies, 2009; 13(50): 101-120.
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