The impact of media tone on dollar exchange rate volatility : GARCH applications

The impact of media tone on dollar exchange rate volatility GARCH applications

Using several million news and social media articles related to US dollar, I examine the role of Media tone in predicting daily dollar exchange rate returns from 1998 to 2021. In this study, I use GARCH specifications to explore the relationship between currency Media tone and dollar exchange rate v...

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Bibliographic Details
Main Author: Kulagina, Alexandra
Other Authors: Jyväskylä University School of Business and Economics, Jyväskylän yliopiston kauppakorkeakoulu, Taloustieteet, Business and Economics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2021
Subjects:
media tone
Taloustiede
Economics
2041
volatiliteetti
uutiset
GARCH-mallit
sosiaalinen media
valuutat
ekonometria
valuuttamarkkinat
rahoitusmarkkinat
valuuttakurssimekanismi
volatility (societal properties)
news
GARCH models
social media
currency
econometrics
foreign exchange market
financial markets
exchange rate mechanism
Online Access: https://jyx.jyu.fi/handle/123456789/76683

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