Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India
使用GARCH-MIDAS方法研究国内和全球经济政策不确定性对印度黄金期货长期波动的影响，发现国内不确定性预测效果更好，对投资者和政策制定者有参考价值。
ABSTRACT Gold's status as a safe‐haven asset has gained prominence amid rising economic policy uncertainty (EPU). This study examines the impact of EPU on the volatility of the Indian gold futures market using the advanced methodology of GARCH–MIDAS, which accommodates mixed frequency variables. The findings of the study demonstrate that long‐term volatility of gold futures in India is influenced by both domestic and global EPU (GEPU), with domestic EPU having a greater impact. Also, the study establishes that domestic EPU serves as a superior predictor of Indian gold futures volatility than GEPU. The results indicate that Indian Investors might be more sensitive to domestic policy uncertainty shocks than to GEPU shocks. The study offers valuable insights for gold futures market participants, assisting investors and traders in managing market volatility, and also holds significance for government officials and policymakers.