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
;
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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/4899522
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