Multilingual Textual Signals and Realized Volatility Forecasting: A Hybrid Transformer-HAR-X Approach Applied to the S&P 500 and the MASI

Signaux textuels multilingues et prévision de la volatilité réalisée: une approche hybride Transformer-HAR-X appliquée au S&P 500 et au MASI

Sara Boughanou () and Adil El Marhoum ()
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Sara Boughanou: UM5 - Université Mohammed V de Rabat [Agdal]
Adil El Marhoum: UM5 - Université Mohammed V de Rabat [Agdal]

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Abstract: Abstract Realized-volatility forecasting supports risk management and allocation. GARCH and HAR-RV mostly exploit numerical memory, whereas LSTM-GARCH and FinBERT-LSTM hybrids are often monolingual and rarely receive out-of-sample economic evaluation. We propose a bilingual FinBERT-CamemBERT framework that constructs the daily textual stress index Sₜ and the event vector Eₜ, which enter HAR-X for the S&P 500 and the MASI. The corpus contains 12.3 million French and English items over 2015-2024. Expanding-window validation reserves 2023-2024 for final testing. Against HAR-RV, HAR-X reduces the S&P 500 RMSE by 21.1%; the Diebold-Mariano test yields DM = -2.44, p = .015, and qBH = .033. For the MASI, DM = -2.62 and qBH = .033. Benjamini-Hochberg correction covers six comparisons. The net-of-cost Sharpe ratio rises from .64 to .81, but this gain remains descriptive without a direct Ledoit-Wolf test. Twenty-three of twenty-four monthly differentials are positive, with p < .001 under an exact sign test. The framework connects multilingual textual information, heterogeneous memory, and allocation. SHAP assigns a major predictive role to Sₜ and Eₜ without establishing a causal relationship. Limitations concern annotation reliability, foreign exchange, and concept drift.

Keywords: portfolio optimization; MASI; HAR-X; sentiment analysis; Transformer; Financial volatility; Volatilité financière; analyse de sentiment; optimisation de portefeuille (search for similar items in EconPapers)
Date: 2026-08-20
Note: View the original document on HAL open archive server: https://hal.science/hal-05723648v1
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Published in International Journal of Accounting, Finance, Auditing, Management and Economics - IJAFAME, 7(5), ISSN: 2658-8455, 2026., 2026, 7 (10), pp.109-132. ⟨10.5281/zenodo.21909207⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05723648

DOI: 10.5281/zenodo.21909207

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