Macroeconomic news, announcements, and stock market jump intensity dynamics

Jose Rangel ()

Journal of Banking & Finance, 2011, vol. 35, issue 5, 1263-1276

Abstract: This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time-varying jump intensity, which is allowed to respond to such information. The day of the announcement, per se, is found to have little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks reveal only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence on macroeconomic variables relevance in explaining jump dynamics and improving volatility forecasts on event days is provided.

Keywords: Conditional; jump; intensity; Conditional; volatility; Macroeconomic; announcements (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (95)

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Working Paper: Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:5:p:1263-1276

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