Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83772
Authors: 
Rangel, José Gonzalo
Year of Publication: 
2009
Series/Report no.: 
Working Papers, Banco de México 2009-15
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. It is found that the day of the announcement, per se, has 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 show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.
Subjects: 
conditional jump intensity
conditional volatility
macroeconomic announcements
JEL: 
C22
G14
Document Type: 
Working Paper
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