Predicting standardized absolute returns using rolling-sample textual modelling.

Understanding how textual information impacts financial market volatility has been one of the growing topics in financial econometric research. In this paper, we aim to examine the relationship between the volatility measure that is extracted from GARCH modelling and textual news information both publicly available and from subscription, and the performances of the two datasets are compared. We utilize a latent Dirichlet allocation method to capture the dynamic features of the textual data overtime by summarizing their statistical outputs, such as topic distributions in documents and word distributions in topics.