Volatility forecasting
: the role of financial news in forecasting stock market volatility

  • Tiago Bento da Rocha Baptista Dias (Student)

Student thesis: Master's Thesis

Abstract

This article aims to provide a comprehensive analysis of the influence of financial news on the stock market implied volatility. We analyse each of the constituent stocks from the Dow Jones Industrial Average Index, the S&P 500 Index and use the number of firm-specific news released in the FT.com as a proxy for the information flow. To forecast the implied volatility we employ not only OLS regressions but also Neural Networks regressions. Our analysis reveals that the average number of news in the previous month is relevant in forecasting the volatility for the next month, leading to improved Out-of-Sample performances.
Date of Award23 Jul 2015
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorPramuan Bunkanwanicha (Supervisor) & Joni Kokkonen (Co-Supervisor)

Designation

  • Mestrado em Finanças

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