Volatility Analysis of Web News and Public Attitude by GARCH Model
نویسندگان
چکیده
منابع مشابه
Volume, Volatility and Public News Announcements∗
We provide new empirical evidence for the way in which financial markets process information. Our results are based on high-frequency intraday data along with new econometric techniques for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree ...
متن کاملAnalysis of Stock Market Volatility by Continuous-time GARCH Models
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
متن کاملImproving GARCH Volatility Forecasts
Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our model generalizes existing regime-switching models that allow for ARCH terms only. The empirical applica...
متن کاملBayesian analysis of GARCH and stochastic volatility: modeling
This paper develops a Bayesian model comparison for two broad major classes of varying volatility model, GARCH and stochastic volatility (SV) models on financial time series. The leverage effect, jumps and heavy-tailed errors are incorporated into the two models. For estimation, the efficient Markov chain Monte Carlo methods are developed and the model comparisons are examined based on the marg...
متن کاملA Coupled Component Garch Model for Intraday and Overnight Volatility
We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two periods to have different properties. To capture the very heavy tails of overnight returns, we adopt a dynamic conditional score model with t innovations. We propose a several step estimation procedure that captures the nonparametric slowly moving components by kernel estimation ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Psychology
سال: 2012
ISSN: 2152-7180,2152-7199
DOI: 10.4236/psych.2012.38092