Component‐Driven FX Volatility Prediction: Evidence From USDCNH via GARCH‐MIDAS Models Exploiting Leading Indicators
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DOI: 10.1002/for.70022
Abstract: This study adopts a component‐driven approach to improve FX volatility and value‐at‐risk (VaR) forecasts, with a focus on two types of leading indicators: currency indexes and sovereign spreads. Specifically, we explore the significance of the… read more here.
Keywords: midas models; leading indicators; volatility; component driven ... See more keywords
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
Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework
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DOI: 10.1002/fut.22605
Abstract: Building on prior literature that has demonstrated the effectiveness of various uncertainty‐related indicators in enhancing the accuracy of crude oil volatility forecasting, this paper first investigates the type and persistence of the impact of changes… read more here.
Keywords: midas aes; uncertainty indicator; volatility; uncertainty ... See more keywords
Enhancing stock volatility prediction with the AO-GARCH-MIDAS model
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DOI: 10.1371/journal.pone.0305420
Abstract: Research has substantiated that the presence of outliers in data usually introduces additional errors and biases, which typically leads to a degradation in the precision of volatility forecasts. However, correcting outliers can mitigate these adverse… read more here.
Keywords: midas model; model; garch midas; volatility ... See more keywords
Financial Uncertainty and Gold Market Volatility: Evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) Approach with Variable Selection
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DOI: 10.3390/econometrics12040038
Abstract: We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection. Based on data over… read more here.
Keywords: market; financial uncertainty; garch midas; volatility ... 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