Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2014
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA … three standard volatility models, namely GARCH, EGARCH and GJR. We use these alternative daily DJIA market sentiment scores … to examine the relationship between financial news sentiment scores and the volatility of the DJIA return series. We …