| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3681 |
| 来源ID | Working Paper 3681 |
| Measuring and Testing the Impact of News on Volatility | |
| Robert F. Engle; Victor K. Ng | |
| 发表日期 | 1991-04-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | 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 Nelson's EGARCE. Similar results hold on a pre-crash sample period but are less strong. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/w3681 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560992 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Victor K. Ng. Measuring and Testing the Impact of News on Volatility. 1991. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3681.pdf（225KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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