期刊
FINANCE RESEARCH LETTERS
卷 59, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2023.104714
关键词
Stock market volatility; Economic policy uncertainty; Dynamic threshold model; Out-of-sample performance
This study re-examines the relationship between U.S. stock market volatility and economic policy uncertainty (EPU) using the mixed-frequency dynamic threshold model. The empirical results show that EPU has a time-varying threshold effect. Moreover, combining the dynamic threshold with the Markov-regime Mix-frequency model (MS-MIDAS), this study finds that the new model can significantly improve predictive performance compared to other competing models.
This study re-examines the relationship between U.S. stock market volatility and economic policy uncertainty (EPU) using the mixed-frequency dynamic threshold model. The empirical results exhibit several findings. The EPU has a threshold effect that is time-varying. Moreover, combining the dynamic threshold with the Markov-regime Mix-frequency model (MS-MIDAS), we find that this new model can significantly improve the predictive performance in a statistical view compared to other competing models (including the benchmark model). Our findings can provide new insight into volatility forecasting.
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