TY  - JOUR
AU  - Engle,Robert F.
AU  - Ng,Victor K.
TI  - Measuring and Testing the Impact of News on Volatility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3681
PY  - 1991
Y2  - April 1991
UR  - http://www.nber.org/papers/w3681
L1  - http://www.nber.org/papers/w3681.pdf
N1  - Author contact info:
Robert F. Engle, III
Department of Finance, Stern School of Business
New York University, Salomon Center
44 West 4th Street, Suite 9-160
New York, NY  10012-1126
Tel: 212/998-0710
Fax: 212/995-4220
E-Mail: rengle@stern.nyu.edu

Victor Ng
Goldman Sachs
E-Mail: victor.k.ng@gs.com
AB  - This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response to news. A partially non-parametric ARCH model is introduced to allow the data to estimate this shape. A comparison of this model with the existing models suggests that the best models are one by Glosten Jaganathan and Runkle (GJR) and Nelson's EGARCE. Similar results hold on a pre-crash sample period but are less strong.
ER  -