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Anticipating Long-Term Stock Market Volatility

Citations

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Cited by:

  1. Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
  2. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  3. Chen, Qiang & Gong, Yuting, 2019. "The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 102-121.
  4. Huang, Yu-Fan & Startz, Richard, 2020. "Improved recession dating using stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 507-514.
  5. Zhao, Pan & Pan, Jian & Yue, Qin & Zhang, Jinbo, 2021. "Pricing of financial derivatives based on the Tsallis statistical theory," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
  6. Christian Conrad & Anessa Custovic & Eric Ghysels, 2018. "Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis," JRFM, MDPI, vol. 11(2), pages 1-12, May.
  7. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
  8. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  9. Dai, Zhifeng & Chang, Xiaoming, 2021. "Forecasting stock market volatility: Can the risk aversion measure exert an important role?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  10. Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
  11. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
  12. Jian Liu & Ziting Zhang & Lizhao Yan & Fenghua Wen, 2021. "Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
  13. Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
  14. Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  15. Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2024. "Technological shocks and stock market volatility over a century," Journal of Empirical Finance, Elsevier, vol. 79(C).
  16. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
  17. Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(1), pages 111-122, January.
  18. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
  19. 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.
  20. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2022. "Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 134-157, January.
  21. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
  22. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  23. Dai, Zhifeng & Zhou, Huiting & Wen, Fenghua & He, Shaoyi, 2020. "Efficient predictability of stock return volatility: The role of stock market implied volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  24. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie, 2023. "Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 303-314.
  25. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  26. Liu, Zhenhua & Wang, Yushu & Yuan, Xinting & Ding, Zhihua & Ji, Qiang, 2025. "Geopolitical risk and vulnerability of energy markets," Energy Economics, Elsevier, vol. 141(C).
  27. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
  28. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
  29. Nonejad, Nima, 2022. "An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample," Finance Research Letters, Elsevier, vol. 47(PB).
  30. Gao, Daquan & Li, Songsong & Tian, Zhihong, 2025. "Geopolitical risk, energy market volatility, and corporate energy dependence: The role of green Total factor productivity and decentralized top management team network," Energy Economics, Elsevier, vol. 148(C).
  31. Hongyu An & Boping Tian, 2025. "Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1567-1615, March.
  32. Afees A. S alisu & Wenting Liao & Rangan Gupta & Oguzhan Cepni, 2025. "Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor Versus National Factor in a GARCH‐MIDAS Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1441-1466, July.
  33. Nonejad, Nima, 2017. "Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 131-154.
  34. Damien Kunjal & Faeezah Peerbhai & Paul-Francois Muzindutsi, 2022. "Political, economic, and financial country risks and the volatility of the South African Exchange Traded Fund market: A GARCH-MIDAS approach," Risk Management, Palgrave Macmillan, vol. 24(3), pages 236-258, September.
  35. Dai, Zhifeng & Zhu, Huan & Dong, Xiaodi, 2020. "Forecasting Chinese industry return volatilities with RMB/USD exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  36. Belcaid, Karim & El Ghini, Ahmed, 2019. "U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
  37. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2025. "Volatility forecasting and volatility-timing strategies: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 75(C).
  38. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Post-Print hal-01692239, HAL.
  39. Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024. "Doubly multiplicative error models with long- and short-run components," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
  40. Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
  41. Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo, 2020. "Energy and non–energy Commodities: Spillover Effects on African Stock Markets," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-7.
  42. Fang, Libing & Yu, Honghai & Xiao, Wen, 2018. "Forecasting gold futures market volatility using macroeconomic variables in the United States," Economic Modelling, Elsevier, vol. 72(C), pages 249-259.
  43. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
  44. Hayden Brown, 2024. "Justifying the Volatility of S&P 500 Daily Returns," Papers 2403.01088, arXiv.org, revised Nov 2024.
  45. Su, Zhi & Fang, Tong & Yin, Libo, 2017. "The role of news-based implied volatility among US financial markets," Economics Letters, Elsevier, vol. 157(C), pages 24-27.
  46. Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022. "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers 2022-09, Center for Research in Economics and Statistics.
  47. Alain Hecq & Marie Ternes & Ines Wilms, 2025. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(6), pages 1946-1968, September.
  48. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021. "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, vol. 204(C).
  49. Gong, Xu & Xu, Jun, 2022. "Geopolitical risk and dynamic connectedness between commodity markets," Energy Economics, Elsevier, vol. 110(C).
  50. Guo, Jin & Wen, Xiaoqian, 2024. "Option listing and underlying commodity futures volatility in China," Economic Modelling, Elsevier, vol. 141(C).
  51. Mawuli Segnon & Bjorn Schulte-Tillmann & Riza Demirer & Rangan Gupta, 2025. "Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures," Working Papers 202506, University of Pretoria, Department of Economics.
  52. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
  53. Salisu, Afees A. & Gupta, Rangan & Demirer, Riza, 2022. "Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model," Energy Economics, Elsevier, vol. 108(C).
  54. repec:rim:rimwps:21-05 is not listed on IDEAS
  55. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  56. Riza Demirer & Rangan Gupta & He Li & Yu You, 2021. "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers 202112, University of Pretoria, Department of Economics.
  57. Yu, Honghai & Fang, Libing & Sun, Wencong, 2018. "Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 931-940.
  58. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  59. Bruno Deschamps & Tianlun Fei & Ying Jiang & Xiaoquan Liu, 2022. "Procyclical volatility in Chinese stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1117-1144, April.
  60. Lu, Fei & Ma, Feng & Guo, Qiang, 2023. "Less is more? New evidence from stock market volatility predictability," International Review of Financial Analysis, Elsevier, vol. 89(C).
  61. Zhang Wu & Terence Tai-Leung Chong, 2021. "Does the macroeconomy matter to market volatility? Evidence from US industries," Empirical Economics, Springer, vol. 61(6), pages 2931-2962, December.
  62. Zhou, Zhongbao & Fu, Zhangyan & Jiang, Yong & Zeng, Ximei & Lin, Ling, 2020. "Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 34(C).
  63. Thiasha Naidoo & Peter Moores-Pitt & Paul-Francois Muzindutsi & Kazeem O Isah, 2025. "Analysing investor sentiment and stock market volatility of the JSE size-based indices: a GARCH-MIDAS approach," Risk Management, Palgrave Macmillan, vol. 27(3), pages 1-23, September.
  64. Fang, Tong & Su, Zhi & Yin, Libo, 2020. "Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility," International Review of Financial Analysis, Elsevier, vol. 71(C).
  65. Maheu, John M. & Shamsi Zamenjani, Azam, 2025. "The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model," Journal of Empirical Finance, Elsevier, vol. 82(C).
  66. Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong, 2023. "The effects of economic uncertainty on financial volatility: A comprehensive investigation," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 369-389.
  67. 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.
  68. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2019. "On the asymmetric impact of macro–variables on volatility," Economic Modelling, Elsevier, vol. 76(C), pages 135-152.
  69. Dong, Xin & Gong, Jinguo & Wang, Qin, 2025. "Environmental attention and the predictability of crude oil volatility: Evidence from a new MIDAS multifractal model," Energy Economics, Elsevier, vol. 143(C).
  70. Naimoli, Antonio, 2022. "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper 112588, University Library of Munich, Germany.
  71. Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021. "A reality check on the GARCH-MIDAS volatility models," Working Papers 2021:2, Örebro University, School of Business.
  72. Alexandridis, Antonios K. & Panopoulou, Ekaterini & Souropanis, Ioannis, 2024. "Forecasting exchange rate volatility: An amalgamation approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
  73. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
  74. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
  75. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yuan, Jing, 2018. "Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 13-31.
  76. Metiu, Norbert & Prieto, Esteban, 2025. "Time-varying stock return correlation, news shocks, and business cycles," European Economic Review, Elsevier, vol. 172(C).
  77. Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022. "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers 9922, Center for Quantitative Economics (CQE), University of Muenster.
  78. Conrad, Christian & Hartmann, Matthias, 2019. "On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies," European Journal of Political Economy, Elsevier, vol. 56(C), pages 233-250.
  79. Liu, Han & Yang, Peng & He, Yongda & Oxley, Les & Guo, Pengwei, 2024. "Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation: Evidence from DCC-MIDAS-X model," Energy Economics, Elsevier, vol. 129(C).
  80. Fang, Libing & Qian, Yichuo & Chen, Ying & Yu, Honghai, 2018. "How does stock market volatility react to NVIX? Evidence from developed countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 490-499.
  81. Ghysels, Eric & Qian, Hang, 2019. "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, vol. 9(C), pages 1-16.
  82. Ruipeng Liu & Mawuli Segnon & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
  83. M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
  84. Su, Zhi & Fang, Tong & Yin, Libo, 2019. "Understanding stock market volatility: What is the role of U.S. uncertainty?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 582-590.
  85. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
  86. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
  87. S. Yfanti & M. Karanasos & J. Wu & P. Vourvachis, 2025. "Short- and long-run cross-border European sustainability interdependences," Annals of Operations Research, Springer, vol. 347(1), pages 579-610, April.
  88. Wu, Xinyu & Xie, Haibin & Zhang, Huanming, 2022. "Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  89. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  90. Berg, Kimberly A. & Vu, Nam T., 2019. "International spillovers of U.S. financial volatility," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 19-34.
  91. Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019. "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.
  92. Wang, Yuejing & Ye, Wuyi & Jiang, Ying & Liu, Xiaoquan, 2024. "Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model," International Review of Financial Analysis, Elsevier, vol. 92(C).
  93. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
  94. Naimoli, Antonio, 2023. "The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach," International Economics, Elsevier, vol. 176(C).
  95. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
  96. Shen, Lihua & Lu, Xinjie & Luu Duc Huynh, Toan & Liang, Chao, 2023. "Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 224-239.
  97. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
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