Open access
Aug 2026
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...
A. Salisu, A. E. Ogbonna, Rangan Gupta et al.
· Financial Innovation · 0 citations