Salisu, Afees A.Ogbonna, Ahamuefula E.Gupta, RanganJi, Qiang2024-08-202024-09Salisu, 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.2024.105847.1544-6123 (print)1544-6131 (online)10.1016/j.frl.2024.105847http://hdl.handle.net/2263/97739DATA AVAILABILITY : Data will be made available on request.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© 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.Generalized autoregressive conditional heteroskedasticity (GARCH)Mixed data sampling (MIDAS)Oil price uncertainty (OPU)Monthly oil priceEnergy market uncertaintyDaily exchange rate returns volatilityGARCH-MIDASForecastingSDG-08: Decent work and economic growthPostprint Article