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Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks

Citations

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Cited by:

  1. Mensi, Walid & Lee, Yeonjeong & Al-Kharusi, Sami & Yoon, Seong-Min, 2024. "Switching spillovers and connectedness between Sukuk and international Islamic stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
  2. Cai, Yifei & Fu, Xiaowen & Zhang, Yahua, 2025. "Geopolitical risks and airlines stock return — Implications to the financial stability of European airlines," Transport Policy, Elsevier, vol. 170(C), pages 51-57.
  3. 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).
  4. David Neto, 2025. "Is uncertainty in the European stock market resilient to geopolitical risk? A non-homogeneous regime-switching analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 52(4), pages 651-666, November.
  5. Md Khaled Hossain Rafi & Syed Riaz Mahmood Ali, 2026. "Geopolitical threats and the reversal of equity size premiums," Journal of Asset Management, Palgrave Macmillan, vol. 27(2), pages 1-25, June.
  6. Xu, Xiuqin & Peng, Hanqiu & Chen, Ying, 2026. "Deep switching state space model for nonlinear time series forecasting with regime switching," International Journal of Forecasting, Elsevier, vol. 42(1), pages 85-98.
  7. 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.
  8. Neto, David, 2025. "Buy when there’s blood in the streets: How geopolitical adverse events can push defense stock returns to the extreme," European Journal of Political Economy, Elsevier, vol. 90(PB).
  9. Salisu, Afees A. & Gupta, Rangan & Cepni, Oguzhan, 2026. "Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework," The Quarterly Review of Economics and Finance, Elsevier, vol. 105(C).
  10. V. Candila & O. Cepni & G. Gallo & R. Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis," Working Paper CRENoS 202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  11. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.
  12. Neto, David, 2025. "Does geopolitical distress tip the European financial stock markets into a great uncertainty regime?," Research in Economics, Elsevier, vol. 79(3).
  13. Neto, David, 2025. "Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail," Finance Research Letters, Elsevier, vol. 73(C).
  14. Mo, Bin & Chen, Jiaru & Shi, Qinling & Zeng, Zichun, 2025. "Cryptocurrencies as safe havens for geopolitical risk? A quantile analysis approach," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  15. 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.
  16. Gong, Xue & Yang, Ruotong & Xing, Lu, 2026. "Typhoon events and stock market volatility: A climate risk perspective," Finance Research Letters, Elsevier, vol. 99(C).
  17. 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).
  18. Fangsheng Yin & Yiling You & Tianyi Wang & Mei Yu, 2025. "Pricing VIX Futures Under a Markov‐Switching GARCH Framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2262-2281, December.
  19. Ke Yang & Xuebao Yin & Fengping Tian, 2026. "Forecasting Crude Oil Volatility With Geopolitical Risk: The RSV–MIDAS–GPR Model and Its Economic Value," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(5), pages 824-842, May.
  20. Liu, Zhenhua & Wang, Yushu & Yuan, Xinting & Ding, Zhihua & Ji, Qiang, 2025. "Geopolitical risk and vulnerability of energy markets," Energy Economics, Elsevier, vol. 141(C).
  21. Animesh Bhattacharjee & Jayeeta Debnath Munshi & Joy Das, 2026. "From Manila to Beijing: Geopolitical Risk, Macroeconomics, and the Indian Stock Market in a Volatile Region," Metamorphosis: A Journal of Management Research, , vol. 25(1), pages 79-86, April.
  22. 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.
  23. 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.
  24. 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).
  25. Jiang, Kunliang & Luo, Pengfei & Gan, Wenxiao & Song, Jiashan & Wang, Yuejing, 2026. "Does climate policy uncertainty affect expected shortfall (and Value-at-Risk) in the Chinese sector? Evidence from the mixed-frequency dynamic semi-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
  26. 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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