{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T00:32:35Z","timestamp":1793147555888,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":13,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Macroeconomic announcements generate information shocks that cause investors to revise expectations and adjust positions, yet the short-term magnitude of these reactions is not well understood. This study employs an event study framework to measure realized volatility in 5-minute intraday bars for SPY and QQQ across 630 scheduled macroeconomic announcements from January 2020 to December 2025, including CPI releases, FOMC rate decisions, GDP estimates, nonfarm payroll reports, and retail sales figures. Paired t-tests confirm that post-event realized volatility increases significantly across all windows and both indices, with SPY exhibiting a 2.5-fold increase and QQQ a 2.5-fold increase in the 30-minute post-event window relative to pre-event levels (t = 16.36 and t = 18.72 respectively, p &amp;lt; 0.0001). Inflation releases produced the largest volatility response, with a 3.616-fold increase in SPY and 4.068-fold increase in QQQ. To address a second research question, categorical and temporal event features are used to predict post-event realized volatility magnitude using Ridge regression, Random Forest, and Gradient Boosting models evaluated via 5-fold cross-validation. The Gradient Boosting model achieved the strongest performance with R\u00b2 of 0.3059 for SPY and 0.2895 for QQQ, with temporal features ranking as the most predictive, suggesting that the prevailing macroeconomic regime influences volatility magnitude as much as announcement type. These findings indicate that scheduled macroeconomic releases produce measurable and predictable short-term volatility responses in equity index ETFs.<\/jats:p>","DOI":"10.2139\/ssrn.6631518","type":"posted-content","created":{"date-parts":[[2026,4,24]],"date-time":"2026-04-24T13:41:21Z","timestamp":1777038081000},"source":"Crossref","is-referenced-by-count":0,"title":["Scheduled Macroeconomic Announcements and Intraday Volatility: Evidence from SPY and QQQ"],"prefix":"10.2139","author":[{"given":"Anirudh","family":"Naveen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"4","key":"ref1","doi-asserted-by":"crossref","first-page":"885","DOI":"10.2307\/2527343","article-title":"Answering the skeptics: Yes, standard volatility models do provide accurate forecasts","volume":"39","author":"T G Andersen","year":"1998","journal-title":"International Economic Review"},{"issue":"2","key":"ref2","doi-asserted-by":"crossref","first-page":"579","DOI":"10.1111\/1468-0262.00418","article-title":"Modeling and forecasting realized volatility","volume":"71","author":"T G Andersen","year":"2003","journal-title":"Econometrica"},{"issue":"1","key":"ref3","doi-asserted-by":"crossref","first-page":"38","DOI":"10.1257\/000282803321455151","article-title":"Micro effects of macro announcements: Real-time price discovery in foreign exchange","volume":"93","author":"T G Andersen","year":"2003","journal-title":"American Economic Review"},{"issue":"4","key":"ref4","doi-asserted-by":"crossref","first-page":"1593","DOI":"10.1093\/qje\/qjw024","article-title":"Measuring economic policy uncertainty","volume":"131","author":"S R Baker","year":"2016","journal-title":"Quarterly Journal of Economics"},{"issue":"4","key":"ref5","doi-asserted-by":"crossref","first-page":"523","DOI":"10.2307\/2676223","article-title":"Economic news and bond prices: Evidence from the U.S. Treasury market","volume":"36","author":"P Balduzzi","year":"2001","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"ref6","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1111\/1467-9868.00336","article-title":"Econometric analysis of realised volatility and its use in estimating stochastic volatility models","volume":"64","author":"O E Barndorff-Nielsen","year":"2002","journal-title":"Journal of the Royal Statistical Society: Series B"},{"issue":"3","key":"ref7","first-page":"2791","article-title":"The effect of macroeconomic news on stock returns: New evidence from newspaper coverage","volume":"60","author":"B S Bernanke","year":"2005","journal-title":"Journal of Banking & Finance"},{"key":"ref8","doi-asserted-by":"crossref","DOI":"10.1016\/j.qref.2024.03.014","article-title":"Factor returns and FOMC announcements: The role of sentiment","volume":"97","author":"G Dotsis","year":"2024","journal-title":"Quarterly Review of Economics and Finance"},{"issue":"2","key":"ref9","doi-asserted-by":"crossref","first-page":"383","DOI":"10.2307\/2325486","article-title":"Efficient capital markets: A review of theory and empirical work","volume":"25","author":"E F Fama","year":"1970","journal-title":"Journal of Finance"},{"issue":"1","key":"ref10","doi-asserted-by":"crossref","first-page":"329","DOI":"10.1111\/jofi.12196","article-title":"The pre-FOMC announcement drift","volume":"70","author":"D O Lucca","year":"2015","journal-title":"Journal of Finance"},{"issue":"1","key":"ref11","first-page":"13","article-title":"Event studies in economics and finance","volume":"35","author":"A C Mackinlay","year":"1997","journal-title":"Journal of Economic Literature"},{"issue":"4","key":"ref12","first-page":"1","article-title":"Asymmetric S&P 500 reactions to CPI surprises in a high-inflation environment","volume":"67","author":"L Pastor","year":"2012","journal-title":"Applied Economics Letters"},{"issue":"5","key":"ref13","doi-asserted-by":"crossref","first-page":"1115","DOI":"10.1111\/j.1540-6261.1989.tb02647.x","article-title":"Why does stock market volatility change over time","volume":"44","author":"G W Schwert","year":"1989","journal-title":"Journal of Finance"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T23:44:58Z","timestamp":1793144698000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6631518"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":13,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6631518","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}