The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approach
This paper aims to investigate the effects of macroeconomic variables on stock market volatility in three Asian countries by applying GARCH MIDAS model. The study covers the period from 01/2003 to 06/2014. The GARCH MIDAS framework allows to incorporate macro variables directly in the model and obtain long-term and short-term volatility separately. Empirical findings show that some macroeconomic v