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

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

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …