Abstract
Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of standard symmetric and asymmetric Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models augmented to include media coverage and especially media tone scores outperform traditional GARCH models both in- and out-of-sample.
Original language | English |
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Article number | 101943 |
Journal | Finance Research Letters |
Volume | 42 |
Early online date | 16 Feb 2021 |
DOIs | |
Publication status | Published - Oct 2021 |
Bibliographical note
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