Does Google search index really help predicting stock market volatility? Evidence from a modified mixed data sampling model on volatility

Accurately predicting volatility plays an important role in many financial interactions and has already attracted considerable attention from both academics and practitioners. Much effort has been devoted to looking for key determinants of volatility and developing more powerful models. In this pape...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Knowledge-based systems 2019-02, Vol.166, p.170-185
Hauptverfasser:	Xu, Qifa, Bo, Zhongpu, Jiang, Cuixia, Liu, Yezheng
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Data sampling GARCH-MIDAS Google trends Impact analysis Macroeconomics Mixed frequency data Multiple factors GARCH-MIDAS Performance prediction Predictions Search engines Securities markets Volatility Volatility forecasting
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!