The role of news-based implied volatility among US financial markets

C-Tier
Journal: Economics Letters
Year: 2017
Volume: 157
Issue: C
Pages: 24-27

Authors (3)

Su, Zhi (not in RePEc) Fang, Tong (not in RePEc) Yin, Libo (Central University of Finance)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We investigate the role of uncertainty measured by news-based implied volatility in anticipating US long-term market volatilities from a GARCH-MIDAS model. We find that news-based implied volatility performs well in predicting long-term aggregate market volatilities. A subsample analysis provides that the predictive power of news-based implied volatility is decreasing.

Technical Details

RePEc Handle
repec:eee:ecolet:v:157:y:2017:i:c:p:24-27
Journal Field
General
Author Count
3
Added to Database
2026-01-29