dependence of volatility. In addition, the empirical distributions are leptokurtic. The model of generalized autoregressive … incorporates autocorrelated volatility explicity and it also implies a leptokurtic distribution. The GARCH model does indeed … forecasts of volatility which use the current estimate of the variance from the past data. …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is … differences of opinion is left, and hence volatility is decreased. …