This study investigates the potential of news sentiment in predicting stock market volatility using a large news … database. We augment traditional time series models of realized volatility with sentiment scores of macroeconomic and firm … prediction of future volatility levels for both individual stocks and the S&P 500 Index. In particular, we find substantial …

Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of … firm’s intra-day stock price volatility. This effect is not driven by persistence in volatility or anticipation of future … over into firms related by the structure of the production network, but does not affect the aggregate level of volatility …

is to unravel the mystery around the existing volatility spillovers among equity REITs. The econometric modelisation is … Barunik & Krehlik. Exchange-listed equity REITs have complex patterns of volatility since they are the nexus of two markets …

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a … bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information … realized GARCH model with time-varying intercept, measuring changes in the overall volatility level, which is governed by a new …

apply several GARCH specifications to show that negative and positive news explain the asymmetric effects in the volatility …