Volatility Forecasting Using Geopolitical Risk Indices: A GARCH-MIDAS Approach
This paper applies the GARCH-MIDAS (mixed data sampling) framework to examine if geopolitical risk indices (GPR) have predictive ability when forecasting stock market volatility in advanced economies. Stock market indices and country-specific GPR indices from 21 advanced economies are used to examine the out-of-sample predictability of short-term total variance and long-term variance. The main fin
