The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach
使用GARCH-MIDAS模型，发现全球经济政策不确定性（GEPU）能显著正向预测黄金期货市场未来月波动率，且加入GEPU和已实现波动率的模型预测能力最强。
This paper applies the GARCH‐MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short‐ and long‐term components of the gold futures return variance. Our results show that GEPU positively and significantly forecasts the future monthly volatilities for the aggregate global gold futures market. The forecasting power of GEPU remains strong in an out‐of‐sample setting. Moreover, further out‐of‐sample tests show that the GARCH‐MIDAS model with GEPU and realized volatility outperforms all other specifications, indicating that including low‐frequency GEPU information in the GARCH‐MIDAS model significantly enhances the forecasting ability of the model.