Gallo, Giampiero; Pacini, Barbara - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 1034-1034
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 and the closing price of the day before have different...
