This study employs big data and text data mining techniques to forecast financial market volatility. We incorporate … financial information from online news sources into time series volatility models. We categorize a topic for each news article … volatility. The results of our empirical analysis suggest that the proposed models can contribute to improving forecasting …

this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the … ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning … point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …

This paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different …

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …

This study examines on the basis of economic theory the determinants of exchange rate volatilities for a large number … of currencies. We relate daily changes in GARCH(1,1) volatilities of exchange rates to the volatility changes of several … markets for both assets. In the same vein, first differences of the gold price volatility, as an additional determinant, are …