RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks
Equation (6)
ln
h
t
2
=
ϕ
0
+
∑
w
=
1
q
ϕ
w
c
o
m
w
,
t
+
∑
x
=
1
n
(
ω
¯
x
ν
t
−
x
+
θ
x
|
ν
t
−
x
|
)
+
∑
y
=
1
p
λ
y
ln
h
t
−
y
2
+
∑
z
=
1
7
φ
z
O
t
h
e
r
z
,
t
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