The Role of Macroeconomic Variables in Forecasting Equity Market Volatility in the East Aftican Community
Lin Wen Sheng,
Mutebi Jade
Abstract:This study delves into the dynamic relationship between macroeconomic variables and equity market volatility in the East African Community. The research employs the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model coupled with the Mixed Data Sampling (MIDAS) approach. Through a comparative process, it is found that the different macroeconomic variables exhibit heterogeneous effects on the different countries in the East African community that is macroeconomic factors significantly explai… Show more
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