Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Abstract This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU...

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Bibliographic Details
Main Authors: Jian Liu, Ziting Zhang, Lizhao Yan, Fenghua Wen
Format: Article
Language:English
Published: SpringerOpen 2021-10-01
Series:Financial Innovation
Subjects:
EUA
Economic policy uncertainty
GARCH-MIDAS
Volatility forecasting
Futures
Online Access:https://doi.org/10.1186/s40854-021-00292-8

Internet

https://doi.org/10.1186/s40854-021-00292-8

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