Revisiting the predictive prowess of economic policy uncertainty (EPU) in stock market volatility: GEPU or NEPU?

Revisiting the predictive prowess of economic policy uncertainty (EPU) in stock market volatility: GEPU or NEPU?

We employ the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variant of the Mixed Data Sampling (MIDAS) [GARCH-MIDAS] model to revisit the forecasting prowess of economic policy uncertainty (EPU) in the predictability of stock market volatility. We show that both the global econom...

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Bibliographic Details
Main Authors: Kazeem O. Isah, Sheriff K. Badmus, Oluwafemi D. Ogunjemilua, Johnson O. Adelakun, Yusuf Yakubu
Format: Article
Language:English
Published: Elsevier 2024-03-01
Series:Scientific African
Subjects:
C53
C58. D80
Online Access:http://www.sciencedirect.com/science/article/pii/S2468227624000127

Internet

http://www.sciencedirect.com/science/article/pii/S2468227624000127

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