The Role of Energy Market Uncertainties in Forecasting US State-Level Stock Market Volatility: A GARCH-MIDAS Approach
In this paper, we employ the generalized autoregressive conditional heteroscedasticity-mixed data sampling (GARCH-MIDAS) framework to forecast the daily volatility of state-level stock returns in the United States based on monthly metrics of oil price uncertainty (OPU) and the broader energy uncertainty index (EUI). Th...