Are the Policy Uncertainty and CLI ‘Effective’ Indicators of Volatility? GARCH-MIDAS Analysis of the G7 Stock Markets

Basit Öğe Kaydı
dc.authorid45773en_US
dc.authorid292228en_US
dc.authorid44936en_US
dc.contributor.authorErsin, Özgür Ömer
dc.contributor.authorGül, Mert
dc.contributor.authorAşık, Bekir
dc.date.accessioned2023-03-08T11:36:05Z
dc.date.available2023-03-08T11:36:05Z
dc.date.issued2022
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThe 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.en_US
dc.identifier.doi10.24818/18423264/56.1.22.09
dc.identifier.issn1807-5436
dc.identifier.scopus2-s2.0-85128470748en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://doi.org/10.24818/18423264/56.1.22.09
dc.identifier.wosWOS:000777438800009en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherBucharest University of Economic Studiesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.subjectEconomic Policy Uncertaintyen_US
dc.subjectComposite Leading Indicatorsen_US
dc.subjectGARCHen_US
dc.subjectMixed Data Samplingen_US
dc.titleAre the Policy Uncertainty and CLI ‘Effective’ Indicators of Volatility? GARCH-MIDAS Analysis of the G7 Stock Marketsen_US
dc.typeArticleen_US

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