On the Issue of the Impact of News in Telegram Channels on the Volatility of the Russian Stock Market

In the context of the growing importance of social media as a source of information, the study of the impact of news sentiment on financial markets becomes increasingly relevant. This research analyzes the effect of information tone from popular Russian Telegram channels on the volatility of the IMOEX stock index. The study employs a GARCH-X model, which allows for the inclusion of an exogenous variable – news sentiment. Sentiment was calculated using text analysis tools applied to messages collected from three business-focused channels: RBC, Forbes Russia, and InvestFuture. Data were aggregated on a daily basis and compared with the dynamics of index returns. The results demonstrate a statistically significant relationship between news sentiment and market volatility, thereby supporting the applicability of the extended GARCH model in combination with alternative data sources. The conclusions are reinforced by graphical analysis and a detailed assessment of model parameters and their statistical significance. Special attention is given to methodological limitations, including daily aggregation and the absence of thematic filtering. The paper concludes by outlining directions for future research, such as topic-specific classification of news, expanding the sample of channels, and incorporating other information platforms.