THE FORECASTING ANALYSIS OF EUR/CHF EXCHANGE RATE VOLATILITY IN ALBANIAN MARKET

This paper aims the estimation and 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. Meanwhile is observed an increasing export trend particularly during 2014 toward Italy, Spain, Germany, Greece and Switzerland where the goods are sold in EUR and CHF contemporary with the external debt issued in Euro. Under these circumstances, the financial time series dynamic models such as AMA (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. The comparison of EUR/CHF exchange rate forecasted data through GARCH (1;1) model with the current ones demonstrated the robustness of the latter as the forecasted data didn't exceeded the established limit 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.