| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5057739 | Economics Letters | 2017 | 4 Pages |
â¢News-based implied volatility is a new measure of uncertainty for capturing investors' perceptions.â¢We investigate the impact of news-based implied volatility on long-term market volatilities from a GARCH-MIDAS model.â¢News-based implied volatility performs well in predicting long-term market volatilities.â¢The predictive power of news-based implied volatility is decreasing through a subsample analysis.
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.
