Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2007
valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … simple adaptation to the GARCH model to make the model aware of news. We propose that the content of news is important and … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …