objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …

explores the role of irrational investors’ sentiments in determining stock market volatility. By employing monthly data on … sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results … showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the …