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Forecasting stock price volatility: New evidence from the GARCH-MIDAS model

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Cited by:

  1. Siyang Mei & Yuxi Zhang & Xin Liu & Feng Li, 2025. "Presenting an innovative methodology to effectively handle investment risk in financial markets," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 16(10), pages 3390-3408, October.
  2. Waheed Ullah Shah & Ijaz Younis & Mohammad Zoynul Abedin & Xiyu Liu & Layal Isskandarani, 2025. "Innovative spillover strategies between global renewable energy and Islamic stock markets: safe hedging in shocks," Economic Change and Restructuring, Springer, vol. 58(4), pages 1-34, August.
  3. Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
  4. Peng, Lijuan & Liang, Chao & Yang, Baoying & Wang, Lu, 2024. "Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 94(C).
  5. Riso, Luigi & Vacca, Gianmarco, 2024. "Sentiment dynamics and volatility: A study based on GARCH-MIDAS and machine learning," Finance Research Letters, Elsevier, vol. 62(PB).
  6. 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.
  7. Xinyu Wu & Xuebao Yin & Xueting Mei, 2022. "Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model," Sustainability, MDPI, vol. 14(7), pages 1-13, April.
  8. Rami Salem & Musa Ghazwani & Waleed Alshaer, 2025. "ESG Performance–Stock Price Volatility Nexus: The Moderating Effect of Board Cultural Diversity in G20 Markets," Business Strategy and the Environment, Wiley Blackwell, vol. 34(7), pages 8172-8193, November.
  9. Wang, Jiqian & Li, Liang, 2023. "Climate risk and Chinese stock volatility forecasting: Evidence from ESG index," Finance Research Letters, Elsevier, vol. 55(PA).
  10. Renu Saraswat & Ajit Kumar, 2025. "Stock Price Forecasting With Integration of Sectoral Behavior: A Deep Auto‐Optimized Multimodal Framework," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(5), pages 1767-1784, August.
  11. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
  12. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
  13. Amirali Nasouri, 2025. "The Impact of Geopolitical Risks on Equity Markets and Financial Stress: A Comparative Analysis of Emerging and Advanced Economies," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 30-41.
  14. Hu, Nan & Yin, Xuebao & Yao, Yuhang, 2025. "A novel HAR-type realized volatility forecasting model using graph neural network," International Review of Financial Analysis, Elsevier, vol. 98(C).
  15. Lu, Linna & Lei, Yalin & Yang, Yang & Zheng, Haoqi & Wang, Wen & Meng, Yan & Meng, Chunhong & Zha, Liqiang, 2023. "Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022," Resources Policy, Elsevier, vol. 82(C).
  16. Wu, Bangzheng, 2025. "The global supply pressure and oil supply–demand shocks: A time-scale and quantile analysis," Energy Economics, Elsevier, vol. 147(C).
  17. Denis Haoheng Wu & Sherry Zhefang Zhou, 2026. "Component‐Driven FX Volatility Prediction: Evidence From USDCNH via GARCH‐MIDAS Models Exploiting Leading Indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(1), pages 194-216, January.
  18. Gong, Jue & Wang, Gang-Jin & Zhou, Yang & Xie, Chi, 2025. "Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks," Journal of Empirical Finance, Elsevier, vol. 83(C).
  19. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
  20. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
  21. Yao, Zhigang & Liu, Yao, 2023. "Crude oil volatility forecasting: New evidence from world uncertainty index," Finance Research Letters, Elsevier, vol. 58(PA).
  22. Jaydip Sen & Sidra Mehtab, 2021. "Design and Analysis of Robust Deep Learning Models for Stock Price Prediction," Papers 2106.09664, arXiv.org.
  23. 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.
  24. Wang, Hu & Li, Shouwei, 2021. "Asymmetric volatility spillovers between crude oil and China's financial markets," Energy, Elsevier, vol. 233(C).
  25. 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.
  26. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
  27. Pavan Kumar Nagula & Christos Alexakis, 2025. "Forecasting Natural Gas Futures Prices Using Hybrid Machine Learning Models During Turbulent Market Conditions: The Case of the Russian–Ukraine Crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1501-1512, July.
  28. Muhammad Saeed & Ijaz Ahmad & Muhammad Ahmad Usman, 2021. "Do the stocks' returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 13-26, june.
  29. Lu, Fei & Ma, Feng & Li, Pan & Huang, Dengshi, 2022. "Natural gas volatility predictability in a data-rich world," International Review of Financial Analysis, Elsevier, vol. 83(C).
  30. Wang, Lu & Wang, Xing & Liang, Chao, 2024. "Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
  31. Peng, Lijuan & Liang, Chao, 2023. "Sustainable development during the post-COVID-19 period: Role of crude oil," Resources Policy, Elsevier, vol. 85(PA).
  32. Feng Ma & Xinjie Lu & Lu Wang & Julien Chevallier, 2021. "Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1070-1085, September.
  33. Zhang, Li & Wang, Lu & Peng, Lijuan & Luo, Keyu, 2023. "Measuring the response of clean energy stock price volatility to extreme shocks," Renewable Energy, Elsevier, vol. 206(C), pages 1289-1300.
  34. Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2022. "Stock Volatility Prediction using Time Series and Deep Learning Approach," Papers 2210.02126, arXiv.org.
  35. Adediran, Idris A. & Swaray, Raymond, 2023. "Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty," Economic Modelling, Elsevier, vol. 123(C).
  36. Chen Chuanglian & Lin Huanheng & Lin Yuting, 2026. "Deep Learning‐Based Network Relationship Construction Method and Its Impact on Futures Risk Premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(1), pages 175-196, January.
  37. Lu Wang & Feng Ma & Guoshan Liu & Qiaoqi Lang, 2023. "Do extreme shocks help forecast oil price volatility? The augmented GARCH‐MIDAS approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2056-2073, April.
  38. Xiafei Li & Dongxin Li & Xuhui Zhang & Guiwu Wei & Lan Bai & Yu Wei, 2021. "Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1501-1523, December.
  39. Edmond H. C. Wu & Jihao Hu & Rui Chen, 2022. "Monitoring and forecasting COVID-19 impacts on hotel occupancy rates with daily visitor arrivals and search queries," Current Issues in Tourism, Taylor & Francis Journals, vol. 25(3), pages 490-507, February.
  40. Siyue Zheng & Mingdong Xu & Min Zhu, 2025. "Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1182-1201, September.
  41. Ghani, Maria & Guo, Qiang & Ma, Feng & Li, Tao, 2022. "Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1180-1189.
  42. Vito Ciciretti & Alberto Pallotta & Suman Lodh & P. K. Senyo & Monomita Nandy, 2025. "Forecasting Digital Asset Return: An Application of Machine Learning Model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 3169-3186, July.
  43. Hong, Yanran & Wang, Lu & Liang, Chao & Umar, Muhammad, 2022. "Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework," Resources Policy, Elsevier, vol. 77(C).
  44. 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.
  45. Mei, Dexiang & Xie, Yutang, 2022. "U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?," Finance Research Letters, Elsevier, vol. 48(C).
  46. Boqiang Lin & Tianxu Lan, 2024. "The time‐varying volatility spillover effects between China's coal and metal market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 699-719, May.
  47. 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.
  48. Xue Gong & Weiguo Zhang & Weijun Xu & Zhe Li, 2022. "Uncertainty index and stock volatility prediction: evidence from international markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-44, December.
  49. Xingyu Dai & Roy Cerqueti & Qunwei Wang & Ling Xiao, 2025. "Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series," Annals of Operations Research, Springer, vol. 348(1), pages 735-775, May.
  50. Liang, Chao & Umar, Muhammad & Ma, Feng & Huynh, Toan L.D., 2022. "Climate policy uncertainty and world renewable energy index volatility forecasting," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
  51. Min Liu & Chien‐Chiang Lee & Wei‐Chong Choo, 2021. "An empirical study on the role of trading volume and data frequency in volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 792-816, August.
  52. Hongli Niu & Qiaoying Pan & Kunliang Xu, 2023. "Hybrid deep learning models with multi-classification investor sentiment to forecast the prices of China’s leading stocks," PLOS ONE, Public Library of Science, vol. 18(11), pages 1-24, November.
  53. Xie, Qichang & Bai, Yu & Jia, Nanfei & Xu, Xin, 2024. "Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods," Energy Economics, Elsevier, vol. 134(C).
  54. Yanping Liu & Bo Yan, 2024. "Spillover effects of carbon, energy, and stock markets considering economic policy uncertainty," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(3), pages 563-591, September.
  55. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
  56. Zhang, Lixia & Bai, Jiancheng & Zhang, Yueyan & Cui, Can, 2023. "Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators," Research in International Business and Finance, Elsevier, vol. 65(C).
  57. Liang, Chao & Wang, Lu & Duong, Duy, 2024. "More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?," Journal of Economic Behavior & Organization, Elsevier, vol. 218(C), pages 1-19.
  58. Yun‐Shi Dai & Peng‐Fei Dai & Wei‐Xing Zhou, 2025. "Geopolitical Risk and the Volatility of the International Grain Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1757-1794, October.
  59. Guo, Yangli & Li, Pan & Wu, Hanlin, 2023. "Jumps in the Chinese crude oil futures volatility forecasting: New evidence," Energy Economics, Elsevier, vol. 126(C).
  60. Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022. "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, vol. 77(C).
  61. Sakariyahu, Rilwan & Johan, Sofia & Lawal, Rodiat & Paterson, Audrey & Chatzivgeri, Eleni, 2023. "Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  62. Duan, Huayou & Zhao, Chenchen & Wang, Lu & Liu, Guangqiang, 2024. "The relationship between renewable energy attention and volatility: A HAR model with markov time-varying transition probability," Research in International Business and Finance, Elsevier, vol. 71(C).
  63. Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
  64. Ting Liu & Weichong Choo & Matemilola Bolaji Tunde & Cheongkin Wan & Yifan Liang, 2024. "Enhancing stock volatility prediction with the AO-GARCH-MIDAS model," PLOS ONE, Public Library of Science, vol. 19(6), pages 1-20, June.
  65. Marco Guerzoni & Luigi Riso & Maria Grazia Zoia, 2025. "Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection," DISCE - Working Papers del Dipartimento di Politica Economica dipe0043, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  66. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Lasisi, Lukman & Olaniran, Abeeb, 2022. "Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  67. Li Zhang & Lu Wang & Yu Ji & Zhigang Pan, 2025. "Forecasting Gold Volatility in an Uncertain Environment: The Roles of Large and Small Shock Sizes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1478-1500, July.
  68. Jaydip Sen & Abhishek Dutta & Sidra Mehtab, 2021. "Profitability Analysis in Stock Investment Using an LSTM-Based Deep Learning Model," Papers 2104.06259, arXiv.org.
  69. Mei, Xueting & Wang, Xinyu, 2024. "Forecasting stock volatility using time-distance weighting fundamental’s shocks," Finance Research Letters, Elsevier, vol. 65(C).
  70. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).
  71. Guerzoni, Marco & Riso, Luigi & Zoia, M. Grazia, 2026. "Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
  72. Oluwasegun B. Adekoya & Jamiu O. Badmus & Mamdouh Abdulaziz Saleh Al‐Faryan, 2025. "Geopolitical Risks and the Predictability of Green Investments: A GARCH‐Based Mixed Data Sampling Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 4343-4357, October.
  73. Yang, Qu & Yu, Yuanyuan & Dai, Dongsheng & He, Qian & Lin, Yu, 2024. "Can hybrid model improve the forecasting performance of stock price index amid COVID-19? Contextual evidence from the MEEMD-LSTM-MLP approach," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  74. Guo, Xiaozhu & Huang, Yisu & Liang, Chao & Umar, Muhammad, 2022. "Forecasting volatility of EUA futures: New evidence," Energy Economics, Elsevier, vol. 110(C).
  75. Lv, Wendai & Qi, Jipeng & Feng, Jing, 2023. "Economic policy uncertainty and environmental governance company volatility: Evidence from China," Research in International Business and Finance, Elsevier, vol. 64(C).
  76. Wang, Yijun & Andreeva, Galina & Martin-Barragan, Belen, 2023. "Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants," International Review of Financial Analysis, Elsevier, vol. 90(C).
  77. Maria Ghani & Usman Ghani, 2024. "Economic Policy Uncertainty and Emerging Stock Market Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 165-181, March.
  78. Vadim Azhmyakov & Ilya Shirokov & Luz Adriana Guzman Trujillo, 2024. "Advanced Statistical Analysis of the Predicted Volatility Levels in Crypto Markets," JRFM, MDPI, vol. 17(7), pages 1-15, July.
  79. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2024. "Energy-related uncertainty and international stock market volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 280-293.
  80. Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
  81. Lukman A. Lasisi & Franklin N. Ngwu & Mohammed K. Taliat & Abeeb O. Olaniran & Kelechi C. Nnamdi, 2025. "Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach," SN Business & Economics, Springer, vol. 5(3), pages 1-21, March.
  82. Xiafei Li & Chao Liang & Feng Ma, 2025. "Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model," Annals of Operations Research, Springer, vol. 352(3), pages 613-652, September.
  83. Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2021. "Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model," Papers 2111.04976, arXiv.org.
  84. Wang, Lu & Zhao, Chenchen & Liang, Chao & Jiu, Song, 2022. "Predicting the volatility of China's new energy stock market: Deep insight from the realized EGARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 48(C).
  85. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
  86. Dutta, Anupam & Park, Donghyun & Uddin, Gazi Salah & Kanjilal, Kakali & Ghosh, Sajal, 2024. "Do dirty and clean energy investments react to infectious disease-induced uncertainty?," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
  87. Lu Wang & Shan Li & Chao Liang, 2024. "Exploring the impact of oil security attention on oil volatility: A new perspective," International Finance, Wiley Blackwell, vol. 27(1), pages 61-80, April.
  88. Liu, Min & Lee, Chien-Chiang, 2022. "Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS," Resources Policy, Elsevier, vol. 76(C).
  89. Arthur Jin Lin, 2023. "Volatility Contagion from Bulk Shipping and Petrochemical Industries to Oil Futures Market during the Economic Uncertainty," Mathematics, MDPI, vol. 11(17), pages 1-19, August.
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