Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19
futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is …. We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and … six GARCH-type models. Our empirical results show that the GARCH-MIDAS models, which exhibit superior out …