Pan, Zhiyuan, Bu, Ruijun 
ORCID: 0000-0002-3947-3038, Liu, Li and Wang, Yudong
(2020)
Macroeconomic fundamentals, jump dynamics and expected volatility
QUANTITATIVE FINANCE, 20 (8).
pp. 1345-1371.
ISSN 1469-7688, 1469-7696
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GARCH-Jump-MIDAS.pdf - Author Accepted Manuscript Download (6MB) | Preview |
Abstract
In this paper, we develop a new volatility model capturing the effects of macroeconomic variables and jump dynamics on the stock volatility. The proposed GARCH-Jump-MIDAS model is applied to the S&P 500 index. Our in-sample results indicate that macroeconomic activities have important impacts on aggregate market volatility. Out-of-sample evidence suggests that our model with macroeconomic variables significantly outperform a wide range of competitors including the original GARCH(1,1), GARCH-MIDAS and GJR-A-MIDAS models. The volatility timing results also show that the information from jumps and macroeconomic activity is helpful for improving the portfolio performance.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Macroeconomic activity, Jump, Volatility, Portfolio, Loss function |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 03 Apr 2020 11:00 |
| Last Modified: | 16 Jun 2026 06:58 |
| DOI: | 10.1080/14697688.2020.1736317 |
| Related Websites: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3081595 |
| Disclaimer: | The University of Liverpool is not responsible for content contained on other websites from links within repository metadata. Please contact us if you notice anything that appears incorrect or inappropriate. |
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