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NBER WORKING PAPERS SERIES
MEASURING AND TESTING THE IMPACT OF
NEWS ON VOLATILITY
Robert F. Engle
Victor K. Ng
Working Paper No. 3681
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusetts Avenue
Cambridge, MA 02138
April 1991
This paper is part of NBERs research program in Financial
Markets and Monetary Economics. Any opinions expressed are those
of the authors and not those of the National Bureau of Economic
Research.
NBER Working Paper #3681
April 1991
MEASURING AND TESTING THE IMPACT OF
NEWS ON VOLATILITY
ABSTRACT
This paper introduces the News Impact Curve to measure how
new information is incorporated into volatility estimates. A
variety of new and existing ARCH models are compared and
estimated with daily Japanese stock return data to determine the
shape of the News Impact Curve. New diagnostic tests are
presented which emphasize the asymmetry of the volatility
response to news. A partially non-parametric ARCH model is
introduced to allow the data to estimate this shape. A
comparison of this model with the existing models suggests that
the best models are one by Glosten Jaganathan and Runkle (GJR)
and Nelsons EGARCE. Similar results hold on a pre--crash sample
period but are less strong.
Robert F. Engle Victor K. Ng
Chairman and Professor Assistant Professor
Department of Economics of Finance
University of California, School of Business
San Diego
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