The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach

Author:

Asgharian Hossein1,Hou Ai Jun2,Javed Farrukh3

Affiliation:

1. Department of Economics; Lund University and Knut Wicksell Center for Financial Studies; Box 7082 S-22007 Lund Sweden

2. Department of Business and Economics; Southern Denmark University; Odense Denmark

3. Department of Statistics; Lund University; Sweden

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Reference30 articles.

1. Alper CE Fendoglu S Saltoglu B 2008 Forecasting stock market volatilities using MIDAS regression: An application to the emerging markets MPRA Paper

2. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

3. Roughing it up: including jump component in the measurement, modeling and forecasting of return volatility;Anderson;The Review of Economics and Statistics,2007

4. Regression models with mixed data sampling frequencies;Andreaou;Journal of Econometrics,2010

5. Bai J Ghysels E Wright J 2009 State space models and MIDAS regression

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