intensively utilized the textual analysis of news and other firm-related documents in volatility prediction models. It has been … studies to date have tended to focus on linear regression methods in predicting volatility. Here, we show that non … improves the prediction accuracy of abnormal stock return volatility. The fact that the length of news articles is more …

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …