Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks
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Other versions of this item:
- Segnon, Mawuli & Gupta, Rangan & Wilfling, Bernd, 2024. "Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks," International Journal of Forecasting, Elsevier, vol. 40(1), pages 29-43.
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Cited by:
- Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
- Wang, Lu & Wu, Jiangbin & Cao, Yang & Hong, Yanran, 2022. "Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?," Energy Economics, Elsevier, vol. 111(C).
- Afees A. Salisu & Ahamuefula E.Oghonna & Rangan Gupta & Oguzhan Cepni, 2024. "Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach," Working Papers 202409, University of Pretoria, Department of Economics.
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Keywords
Geopolitical risks; Volatility forecasts; Markov-switching GARCH-MIDAS;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2022-02-07 (Central and Western Asia)
- NEP-ETS-2022-02-07 (Econometric Time Series)
- NEP-FMK-2022-02-07 (Financial Markets)
- NEP-FOR-2022-02-07 (Forecasting)
- NEP-ORE-2022-02-07 (Operations Research)
- NEP-RMG-2022-02-07 (Risk Management)
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