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1. 1. The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Duc Hong Hoang; [2015]
   Keywords : China; South Korea; Japan; volatility; GARCH MIDAS; inflation; industrial production; oil price shocks; Business and Economics;

   Abstract : This paper aims to investigate the effects of macroeconomic variables on stock market volatility in three Asian countries by applying GARCH MIDAS model. The study covers the period from 01/2003 to 06/2014. The GARCH MIDAS framework allows to incorporate macro variables directly in the model and obtain long-term and short-term volatility separately. READ MORE