Comparison of the NCI and VIX time series.
NCI, which is calculated using all news (top panel); NCI-financial, which is calculated using strictly financial news (bottom panel); and their correlation with VIX (right panels) are shown. The time series for NCI covers 640 days, from 24th October 2011 to 24th July 2013. The time series for VIX covers 439 working days in the same period. The NCI-financial, obtained by financial document filtering, exhibits much stronger correlation with the VIX compared to the NCI.