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Machine Learning with FEARS index: does the inclusion of investor sentiment improve a machine learning model's ability to predict volatility?

James, Andrew MichaelDepartment of Finance and Tax2024

… from Google Trends. The resulting Financial and Economic Attitudes Revealed by Search (FEARS) index is then utilised as a feature to forecast volatility via three different machine learning (ML) techniques, namely the Random Forest, Artificial Neural Network (ANN), and Long Short-Term Memory …

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