Energy market uncertainties and exchange rate volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula E.; Gupta, Rangan; Ji, Qiang

dc.contributor.author	Salisu, Afees A.
dc.contributor.author	Ogbonna, Ahamuefula E.
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Ji, Qiang
dc.date.accessioned	2024-08-20T09:53:20Z
dc.date.issued	2024-09
dc.description	DATA AVAILABILITY : Data will be made available on request.	en_US
dc.description.abstract	In this paper, we employ the generalized autoregressive conditional heteroscedasticity-mixed data sampling (GARCH-MIDAS) framework to forecast the daily volatility of 19 dollar-based exchange rate returns based on monthly metrics of oil price uncertainty (OPU), and relatively broader global and country-specific energy market-related uncertainty indexes (EUI). We find that the global EUIs tend to perform better than the OPU, highlighting the need to look beyond the oil market to capture energy related uncertainties. The country-specific EUIs outperform the benchmark in a statistically significant manner for at least 14 currencies across the short-, medium-, and long-term forecasting horizons.	en_US
dc.description.department	Economics	en_US
dc.description.embargo	2025-07-26
dc.description.librarian	hj2024	en_US
dc.description.sdg	SDG-08:Decent work and economic growth	en_US
dc.description.sponsorship	The National Social Science Fund of China.	en_US
dc.description.uri	http://www.elsevier.com/locate/frl	en_US
dc.identifier.citation	Salisu, A.A., Ogbonna, A.E., Gupta, R. et al. 2024, 'Energy market uncertainties and exchange rate volatility: a GARCH-MIDAS approach', Finance Research Letters, vol. 67, art. 105847, pp. 1-7, doi : 10.1016/j.frl.2024.105847.	en_US
dc.identifier.issn	1544-6123 (print)
dc.identifier.issn	1544-6131 (online)
dc.identifier.other	10.1016/j.frl.2024.105847
dc.identifier.uri	http://hdl.handle.net/2263/97739
dc.language.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.rights	© 2024 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 67, art. 105847, pp. 1-7, doi : 10.1016/j.frl.2024.105847.	en_US
dc.subject	Generalized autoregressive conditional heteroskedasticity (GARCH)	en_US
dc.subject	Mixed data sampling (MIDAS)	en_US
dc.subject	Oil price uncertainty (OPU)	en_US
dc.subject	Monthly oil price	en_US
dc.subject	Energy market uncertainty	en_US
dc.subject	Daily exchange rate returns volatility	en_US
dc.subject	GARCH-MIDAS	en_US
dc.subject	Forecasting	en_US
dc.subject	SDG-08: Decent work and economic growth	en_US
dc.title	Energy market uncertainties and exchange rate volatility : a GARCH-MIDAS approach	en_US
dc.type	Postprint Article	en_US