Early News Is Good News. The Effects of Market Opening on Market Volatility

Giampiero Gallo () and B. Pacini

Economics Working Papers from European University Institute

Abstract: In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.

Keywords: VOLATILITY; ECONOMIC MODELS; FORECASTS (search for similar items in EconPapers)
JEL-codes: C53 G10 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1998
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Citations: View citations in EconPapers (10)

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Journal Article: Early News is Good News: The Effects of Market Opening on Market Volatility (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco98/3

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