Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach

• Published in: SN Business & Economics Vol. 5; no. 3
• Main Authors: Lasisi, Lukman A., Ngwu, Franklin N., Taliat, Mohammed K., Olaniran, Abeeb O., Nnamdi, Kelechi C.
• Format: Journal Article
• Language: English
• Published: Cham Springer International Publishing 28.02.2025
• Subjects: Business and Management; Economics; Finance; Original Article; C53; Return volatility; Economic policy uncertainty; E44; Commodity market; G15; Climate policy uncertainty; G17; GARCH-MIDAS

This research employs the Generalized Autoregressive Conditional Heteroskedasticity-GARCH option of Mixed Data Sampling – MIDAS (GARCH-MIDAS) model to examine how well commodity return volatility can be predicted using the US climate policy uncertainty (USCPU). Our analysis utilizes 20-day annualize...