Forecasting the volatility of European Union allowance futures with macroeconomic variables using the GJR-GARCH-MIDAS model
Huawei Niu, Tianyu Liu
Year of publication: |
2024
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Authors: | Niu, Huawei |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 67.2024, 1, p. 75-96
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Subject: | EUA futures | GJR-GARCH | Macroeconomic variables | MIDAS | Volatility forecasting | Wirtschaftsprognose | Economic forecast | Prognoseverfahren | Forecasting model | EU-Staaten | EU countries | Volatilität | Volatility | ARCH-Modell | ARCH model |
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