Neighbours, but yet different? Scandinavian stock market volatility and its drivers under different regimes. A GARCH-MIDAS approach
This study is an initial attempt to investigate the differences and similarities of the stock market volatilities in Scandinavia with respect to their drivers. Using the GARCH-MIDAS (Mixed Data Sampling) framework, this paper evaluates the explanatory value of various variables originating from different areas, covering the period from February 1998 to December 2018. Considered categories include