Beyond traditional GARCH models: integrating NLP-derived sentiment scores for enhanced volatility modeling

• Main Authors: Chew, Jun Wei, Ho, Wei Hao, Tan, Liv Ker Jin
• 其他作者: Guangzhi Ye
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2025
• 主題: Mathematical Sciences; Social Sciences; Volatility; GARCH; Sentiment; Natural language processing; Time series
• 在線閱讀: https://hdl.handle.net/10356/184324

Financial markets react dynamically to new information, influencing asset returns volatility. While traditional GARCH models effectively capture volatility clustering, they often overlook the role of exogenous factors, particularly sentiment. This study extends the conventional GARCH framework by in...