announcements from the U.S. were selected, and an empirical analysis of the daily returns, volatility, and volume of the selected …

the volatility effects associated with regularly scheduled US Federal Reserve quantitative easing (QE) announcements …, using high-frequency returns data. We find significant and substantial increases of stock market volatility immediately … increase in volatility is largest when the market is provided with forewarning of an announcement. Unexpected announcements …

"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …