The magnitude of news impact on volatility
| Standard models | Extended models | |
|---|---|---|
| Panel A: TGARCH process | ||
| Bad news | 0.145 | 0.186 |
| Good news | 0.091 | 0.096 |
| Panel B: EGARCH process | ||
| Bad news | 0.248 | 0.294 |
| Good news | 0.182 | 0.198 |
| Standard models | Extended models | |
|---|---|---|
| Bad news | 0.145 | 0.186 |
| Good news | 0.091 | 0.096 |
| Bad news | 0.248 | 0.294 |
| Good news | 0.182 | 0.198 |
Notes: In the case of TGARCH models, the effects of good and bad news are α and α + γ respectively. In the case of EGARCH models, the effects of good and bad news are α + γ and α−γ respectively. Extended models incorporate structural breaks
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