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

Zhi Su, Tong Fang and Libo Yin ()

Economics Letters, 2017, vol. 157, issue C, 24-27

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.

Keywords: News-based implied volatility; Financial markets; Long-term volatility; Predictability (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:157:y:2017:i:c:p:24-27

DOI: 10.1016/j.econlet.2017.05.028

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