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Browsing Research Articles (Economics) by Subject "EPA tests"

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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks

Segnon, Mawuli; Gupta, Rangan; Wilfling, Bernd (Elsevier, 2024-01)

We investigate the role of geopolitical risks in forecasting stock market volatility at monthly horizons within a robust autoregressive Markov-switching GARCH mixed-data-sampling (AR-MSGARCH-MIDAS) framework. Our approach ...

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