The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model
Peng-Fei Dai,
Xiong Xiong,
Wei-Xing Zhou
Abstract:This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single-factor and two-factor models under the GARCH-MIDAS framework to investigate the predictive power of GEPU and GEPU changes excluding and including realized volatility. The findings show that the models with rolling-window specification perform better than those with fixedspan specification. For single-factor models, the GEPU index an… Show more
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