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1 results for "Value at Risk"

OA Optime SQ

Volatility modeling and value at risk analysis of the ALL/EUR exchange rate

Fatmira Kola, Ardit Gjeci
This study estimates exchange rate risk between the Albanian Lek (ALL) and the Euro (EUR) using a GARCH(1,1) model and Value at Risk (VaR). Monthly data from January 2012 to October 2024 are used to model time-varying volatility in exchange rate returns. VaR is computed at the 95% and 99% confi - de…