Predicting stock market volatility a new measure
The primary measure of volatility used by traders and analysts is standard deviation. This metric reflects the average amount a stock's price has differed from the mean over a period of time. It is Financial news predicts stock market volatility better than close price Empirical results show that the average directional prediction accuracy for volatility, on arrival of new information, is 56%, while that of the asset close price is no better than random at 49%. We note that in prediction accuracies and the F1 measure, model based Predicting Stock Market Volatility With a very simple trading rule, and a one-day look-ahead model, we show that KDH alternative data generates ∼7%+excess return margin , relative to a baseline model excluding our data product.