The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach
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DOI: 10.1002/fut.21897
Abstract: This paper applies the GARCH†MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short†and long†term components of the gold futures return variance. Our results… read more here.
Keywords: garch midas; gold futures; futures market; economic policy ... See more keywords
Financial Volatility Modeling with the GARCH-MIDAS-LSTM Approach: The Effects of Economic Expectations, Geopolitical Risks and Industrial Production during COVID-19
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DOI: 10.3390/math11081785
Abstract: Forecasting stock markets is an important challenge due to leptokurtic distributions with heavy tails due to uncertainties in markets, economies, and political fluctuations. To forecast the direction of stock markets, the inclusion of leading indicators… read more here.
Keywords: midas lstm; economic expectations; garch midas; volatility ... See more keywords