Are the Policy Uncertainty and CLI ‘Effective’ Indicators of Volatility? GARCH-MIDAS Analysis of the G7 Stock Markets
Yükleniyor...
Tarih
2022
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Bucharest University of Economic Studies
Erişim Hakkı
Özet
The paper aims at the investigation of two important economic indicators, the economic policy uncertainty (EPU) and composite leading indicator (CLI) of OECD for their leading potential in forecasting the stock market volatility in G7 stock markets. To overcome the frequency discrepancy, the mixed sampling strategy is conducted with GARCH-MIDAS modeling. By utilizing a total of 42 estimations, the study has several contributions: i. both EPU and CLI are major leading indicators, ii. the model specification, rolling window, and fixed, matters, no a priori decision should be made by the researchers, iii. the positive (negative) influence of increases in EPU (CLI) cannot be rejected and should be kept in policy decisions. Lastly, comparative analysis revealed that CLI is a more efficient indicator however is closely followed by another efficient indicator, the EPU, for G7 stock markets’ volatility.
Açıklama
Anahtar Kelimeler
Economic Policy Uncertainty, Composite Leading Indicators, GARCH, Mixed Data Sampling
Kaynak
WoS Q Değeri
Q4
Scopus Q Değeri
N/A
