Before revision:  Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone countries (France, Germany, Italy, and Spain)within the Multiplicative Error Model framework. We propose a model that allows us to quantify the part of market volatility depending directly on unconventional policies by distinguishing between the announcement effect and the implementation effect. While we observe an increase in volatility on announcement days , we find a negative implementation effect, which causes a remarkable reduction in volatility in the long term.
After revision:  Our research aims at analyzing the impact of the ECB policies on stock market volatility . The new set of models, called MEM with Asymmetry and Policy effects (MAP), keeps the base volatility dynamics separate from a component reproducing policy effects, with an increase in volatility on announcement days , we find a negative implementation effect, which causes a remarkable reduction in volatility in the long term.