effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …In this paper, we examine the characteristics of market opening news and its impact on the estimated coefficients of … the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day …

news category and by financial market. It is demonstrated that most of the volatility persistence, as observed by GARCH …This paper explores the relationship between daily market volatility and the arrival of public information in four … different financial markets. Public information is measured as the daily number of economic news headlines, divided in six …

This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and … least-squares dummy variable technique with fixed-effects estimation to measure the volatility impact on both demand … functions. The study evaluates a series of exchange rates from 1970:01 to 2009:12 to compare the long-run impact of volatility …

In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange … rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively … forecasting rule. Thus, the evidence presented in this paper supports the argument that the 1983 finding by Meese and Rogoff (that …

the link between the news in consecutive data releases and the resulting forecast revisions for the target variable. We …

evaluated by computing 'news' on the basis of an evolving conditioning information set. The marginal contribution is then split …

This study aims to capture volatility patterns using GARCH (1,1) models. It evaluates these models to obtain one …-step-ahead forecastabilities by employing four major forecasting evaluation criteria, and compares two different currencies— the Pakistan rupee and …