Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

This study employs big data and text data mining techniques to forecast financial market volatility. We incorporate … financial information from online news sources into time series volatility models. We categorize a topic for each news article … volatility. The results of our empirical analysis suggest that the proposed models can contribute to improving forecasting …