at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas … ; Price Volatility …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …