In 1993, former Michigan Ross finance faculty member Victor Ng, co-authored a paper that is among the top 50 most cited papers in finance. Ng's paper defines the news impact curve, which measures how new information is incorporated into volatility estimates. His paper compares and estimates various new and existing autoregressive conditional heteroskedasticity models, including a partially nonparametric one, with daily Japanese stock return data. New diagnostic tests are presented which emphasize the asymmetry of the volatility response to news. Ng's results suggest that the Glosten, Jagannathan, and Runkle Model is the best parametric model. This path-breaking paper demonstrates the use of a new methodology to show the impact of news on stock prices, probably the most important function of financial markets.