Sentiment and volatility analysis of the stock prices of Intel and AMD

Hafid, Marco Alan (2022) Sentiment and volatility analysis of the stock prices of Intel and AMD. Outstanding Student Paper, BCE, Economics. Szabadon elérhető változat / Unrestricted version: http://publikaciok.lib.uni-corvinus.hu/publikus/tdk/hafid_m_a_2022.pdf

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Free and unrestricted access: http://publikaciok.lib.uni-corvinus.hu/publikus/tdk/hafid_m_a_2022.pdf

Abstract

The aim of this paper is to find the answer to whether the sentiment towards Intel and AMD has any effect on their respective stock prices. The sentiment values were obtained by sentiment analysing the comments on Intel’s and AMD’s subreddits, which were then were placed in a VECM model along with the volatility of Intel’s and AMD’s stocks. The volatility was gained from the T-GARCH models after the ARIMA models seemed insufficient to handle the volatility clustering. The final results show us that there is no connection between the sentiment towards Intel and AMD and their stock prices.

Item Type:Outstanding Student Paper
Notes:3. díj
Subjects:Finance
Mathematics. Econometrics
ID Code:15405
Specialisation:Applied Economics
Deposited On:19 Apr 2023 13:03
Last Modified:19 Apr 2023 13:03

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