Recently, there has been a growing interest in estimating the global and local Economic Policy Uncertainty (EPU). The resulting global EPU indexes have been used as additional exogenous covariates within mixed-frequency volatility models like the GARCH-MIDAS, usually improving the volatility forecasts. On the other side, the literature lacks analyses where the local (in the sense of state-specific) stock market volatilities are also influenced by local EPU indexes. This paper aims to f ill this gap. In particular, we investigate the stock market’s daily volatility in ten states of the United States by including a variety of local and global EPU indexes.
Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility
Candila, Vincenzo
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2025-01-01
Abstract
Recently, there has been a growing interest in estimating the global and local Economic Policy Uncertainty (EPU). The resulting global EPU indexes have been used as additional exogenous covariates within mixed-frequency volatility models like the GARCH-MIDAS, usually improving the volatility forecasts. On the other side, the literature lacks analyses where the local (in the sense of state-specific) stock market volatilities are also influenced by local EPU indexes. This paper aims to f ill this gap. In particular, we investigate the stock market’s daily volatility in ten states of the United States by including a variety of local and global EPU indexes.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.