News-augmented GARCH model: theoretical properties and simulation-based hyperparameter analysis

DOI10.15388/NAMC.2026.31.47080MaRDI QIDQ7357546zbMATH OpenFDO

Authors Diana Vereškaitė, Jurgita Markeviciute, Andrius Buteikis

Publication date 25 September 2026

Published in Nonlinear Analysis. Modelling and Control (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.15388/NAMC.2026.31.47080

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Applications of statistics (62Pxx) Mathematical economics (91Bxx)

Cites work

• A Mellin transform approach to barrier option pricing
• An introduction to analysis of financial data with R.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• News augmented GARCH(1,1) model for volatility prediction
• The role of news-based sentiment in forecasting crude oil price during the Covid-19 pandemic

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