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Modelling the volatility dynamics of ESG stocks amid uncertainties: The role of asymmetry in a GARCH-MIDAS approach

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  • Raheem, Mufutau I.
  • Isah, Kazeem O.
  • Dike, Chukwudi H.
  • Raheem, Ibrahim D.

Abstract

This study uses the GARCH-MIDAS method to predict how much the selected ESG stocks fluctuate based on uncertainty. We find that the effectiveness of uncertainty in predicting ESG volatility varies not only across different countries but is also influenced by the specific nature of the uncertainty being examined. The study accounts for the role of asymmetry, demonstrating that predictions of ESG volatility are more accurate when changes in Economic Policy Uncertainty (EPU) are perceived as positive news rather than as negative news.

Suggested Citation

  • Raheem, Mufutau I. & Isah, Kazeem O. & Dike, Chukwudi H. & Raheem, Ibrahim D., 2025. "Modelling the volatility dynamics of ESG stocks amid uncertainties: The role of asymmetry in a GARCH-MIDAS approach," Finance Research Letters, Elsevier, vol. 85(PD).
    • Handle: RePEc:eee:finlet:v:85:y:2025:i:pd:s1544612325013820
    DOI: 10.1016/j.frl.2025.108127
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    References listed on IDEAS

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    1. Liu, Yinong & Li, Yanying & Li, Haohua, 2026. "Firm-level economic policy uncertainty perception and stock volatility dynamics: Evidence from a panel GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 87(C).

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