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Assessing the Impact of News on Volatility Using the News Impact Curve of EGARCH

Sharma, Meera - 2012

The news impact curve of EGARCH captures the asymmetric impact of negative news on volatility. It also captures the …

Persistent link: https://www.econbiz.de/10013104927

Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns

Cenesizoglu, Tolga - 2014

Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of...

Persistent link: https://www.econbiz.de/10013063045

News augmented GARCH(1,1) model for volatility prediction

Sadik, Zryan A.; Date, Paresh M.; Mitra, Gautam - In: IMA journal of management mathematics 30 (2019) 2, pp. 165-185

Persistent link: https://www.econbiz.de/10012057108

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet …), conditional heteroscedastic volatility models, and multiple news shocks are suitable for forecasting the volatility of the … Malaysian tourist industry. Among them, three primarily volatility models (GARCH, EGARCH, and GJRGARCH) are used in conjunction …

Persistent link: https://www.econbiz.de/10013369139

Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks

Wang, Cheng; Bouri, Elie; Xu, Yahua; Zhang, Dingsheng - In: Energy economics 127 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014489965

Forecasting the Equity Premium : Mind the News!

Adämmer, Philipp - 2020

We introduce a novel strategy to predict monthly equity premia that is based on extracted news from more than 700,000 newspaper articles, which were published in The New York Times and Washington Post between 1980 and 2018. We propose a flexible data-adaptive switching approach to map a large...

Persistent link: https://www.econbiz.de/10012849577

Exploiting News Analytics for Volatility Forecasting

Tranberg Bodilsen, Simon; Lunde, Asger - 2023

This study investigates the potential of news sentiment in predicting stock market volatility using a large news … database. We augment traditional time series models of realized volatility with sentiment scores of macroeconomic and firm … prediction of future volatility levels for both individual stocks and the S&P 500 Index. In particular, we find substantial …

Persistent link: https://www.econbiz.de/10014351269

Investor Attention and Stock Returns

Chen, Jian - 2020

We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...

Persistent link: https://www.econbiz.de/10012852097

Volatility Spillovers Across NFTs News Attention and Financial Markets

Wang, Yizhi - 2022

The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial … decomposition to assess the historical variations of the NFTsAI. Then the empirical analysis is performed via a TVP-VAR volatility …, DeFi, equity, bond, commodity, F.X. and gold markets. And NFT markets are volatility spillover receivers. In addition, NFT …

Persistent link: https://www.econbiz.de/10013404368

News Content, Investor Misreaction, and Stock Return Predictability

Hadzic, Muris - 2015

Using a large dataset of news releases, we study instances of investors' mistaken reaction, or misreaction, to news. We define misreaction as stock prices moving in the direction opposite to the news when it is released. We find that news tone predicts returns in the cross-section only upon the...

Persistent link: https://www.econbiz.de/10013016562