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- W2765719441 abstract "Forecasting financial market volatility is an important issue in the area of econophysics, and revealing the determinants of the market volatility has drawn much attentions of the academics. In order to better predict market volatilities, we use news-based implied volatility (NVIX) to measure uncertainty, and examine the predictive power of NVIX on the stock market volatility in both long and short-term among Asia-Pacific markets via GARCH-MIDAS model. We find that NVIX does not well explain long-term volatility variants in the full sample period, and it is positively associated with market volatility through a subsample analysis starting from the Financial Crisis. We also find that NVIX is more efficient in determining short-term volatility than the long-term volatility, indicating that the impact of NVIX is short-lived and information that investors concern could be quickly reflected in the stock market volatilities." @default.
- W2765719441 created "2017-11-10" @default.
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- W2765719441 date "2018-02-01" @default.
- W2765719441 modified "2023-10-14" @default.
- W2765719441 title "Does NVIX matter for market volatility? Evidence from Asia-Pacific markets" @default.
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- W2765719441 doi "https://doi.org/10.1016/j.physa.2017.10.025" @default.
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