Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to … strength of the reaction of WIG20 to announcements of unexpected values of 13 indicators describing the American economy. On …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson … relevant to explain jump dynamics and improve volatility forecasts on event days is provided. -- Conditional jump intensity … ; conditional volatility ; macroeconomic announcements …

and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around …

macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility … increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also … more substantial impact on implied volatility than other announcements, even after controlling for news surprise components …