Volatility forecasting using news sentiment
This study investigates whether incorporating news-based sentiment into the GARCH-MIDAS framework improves volatility forecasts for the OMXS30 in- dex. The sentiment measure is constructed from Swedish business news articles published in Dagens Industri (DI) between 1995 and 2024, using Latent Dirichlet Allocation (LDA) to identify thematic topics and topic-representative articles. The resulting s
