Do the Unexpected Price Change and News Affect Price Volatility in Palestine?

Inflation is an essential issue in the economy. Many countries try to target inflation to reduce the erosion of savings for citizens, so many researchers have focused on this topic. The current study attempts to determine whether the news or an unexpected change in the consumer prices index basket affects the volatility of the prices asymmetrically. The result shows that four of twelve sectors are not affected by the news, either because they have a constant variance or because of the not significance of EGARCH. The rest sectors show different responses to high price news and low-price news either by magnitude or signs. Generally, we can notice that high prices with significant negative shocks have a more massive effect on future fluctuation. The shocks that affect its future fluctuation are positive and negative for low prices.