Volatility forecasting : the role of financial news in forecasting stock market volatility

Detalhes bibliográficos
Autor(a) principal: Dias, Tiago Bento da Rocha Baptista
Data de Publicação: 2014
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/22084
Resumo: This article aims to provide a comprehensive analysis of the influence of financial news on the stock market implied volatility. We analyse each of the constituent stocks from the Dow Jones Industrial Average Index, the S&P 500 Index and use the number of firm-specific news released in the FT.com as a proxy for the information flow. To forecast the implied volatility we employ not only OLS regressions but also Neural Networks regressions. Our analysis reveals that the average number of news in the previous month is relevant in forecasting the volatility for the next month, leading to improved Out-of-Sample performances.
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spelling Volatility forecasting : the role of financial news in forecasting stock market volatilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis article aims to provide a comprehensive analysis of the influence of financial news on the stock market implied volatility. We analyse each of the constituent stocks from the Dow Jones Industrial Average Index, the S&P 500 Index and use the number of firm-specific news released in the FT.com as a proxy for the information flow. To forecast the implied volatility we employ not only OLS regressions but also Neural Networks regressions. Our analysis reveals that the average number of news in the previous month is relevant in forecasting the volatility for the next month, leading to improved Out-of-Sample performances.Cet article a pour objectif d’analyser l’influence des nouvelles financières sur la volatilité implicite du marché boursier. Nous analysons toutes les valeurs du DJII et le S&P 500 Index ainsi que le nombre de nouvelles publiées dans le FT.com comme une mesure du flux d’informations. Pour faire ces estimations, nous utilisons les régressions OLS et les régressions Neural Networks. Nos résultats montrent que la moyenne des nouvelles du mois précédent est pertinente pour prévoir la volatilité du prochain mois, conduisant à meilleures performances hors de l’échantillon analysé.Bunkanwanicha, PramuanKokkonen, JoniVeritati - Repositório Institucional da Universidade Católica PortuguesaDias, Tiago Bento da Rocha Baptista2017-04-27T08:13:34Z2015-07-2320142015-07-23T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/22084TID:201181835enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-06T01:36:05Zoai:repositorio.ucp.pt:10400.14/22084Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:18:25.597568Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Volatility forecasting : the role of financial news in forecasting stock market volatility
title Volatility forecasting : the role of financial news in forecasting stock market volatility
spellingShingle Volatility forecasting : the role of financial news in forecasting stock market volatility
Dias, Tiago Bento da Rocha Baptista
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Volatility forecasting : the role of financial news in forecasting stock market volatility
title_full Volatility forecasting : the role of financial news in forecasting stock market volatility
title_fullStr Volatility forecasting : the role of financial news in forecasting stock market volatility
title_full_unstemmed Volatility forecasting : the role of financial news in forecasting stock market volatility
title_sort Volatility forecasting : the role of financial news in forecasting stock market volatility
author Dias, Tiago Bento da Rocha Baptista
author_facet Dias, Tiago Bento da Rocha Baptista
author_role author
dc.contributor.none.fl_str_mv Bunkanwanicha, Pramuan
Kokkonen, Joni
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Dias, Tiago Bento da Rocha Baptista
dc.subject.por.fl_str_mv Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This article aims to provide a comprehensive analysis of the influence of financial news on the stock market implied volatility. We analyse each of the constituent stocks from the Dow Jones Industrial Average Index, the S&P 500 Index and use the number of firm-specific news released in the FT.com as a proxy for the information flow. To forecast the implied volatility we employ not only OLS regressions but also Neural Networks regressions. Our analysis reveals that the average number of news in the previous month is relevant in forecasting the volatility for the next month, leading to improved Out-of-Sample performances.
publishDate 2014
dc.date.none.fl_str_mv 2014
2015-07-23
2015-07-23T00:00:00Z
2017-04-27T08:13:34Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/22084
TID:201181835
url http://hdl.handle.net/10400.14/22084
identifier_str_mv TID:201181835
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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