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

DOI10.1093/IMAMAN/DPY004OpenAlexW2793961290WikidataQ125612874 ScholiaQ125612874MaRDI QIDQ5234129

Gautam Mitra, Paresh Date, Zryan A. Sadik

Publication date: 25 September 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/15894

zbMATH Keywords

GARCHEGARCHvolatility predictionnews sentimentnews impact scores

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Testing for local covariate trend effects in volatility models

This page was built for publication: News augmented GARCH(1,1) model for volatility prediction