Any specific studies with a clear interpretation involving the GARCH-MIDAS model?

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Akram Shavkatovich Hasanov

The GARCH-MIDAS applications are gaining ground in the recent literature.

See, for example, among others:

Wei et al. (2018). Hot money and China’s stock market volatility: Further evidence using the GARCH–MIDAS model. Physica A: Statistical Mechanics and its Applications.

Pan et al. (2017). Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. Journal of Empirical Finance.

Salim Ali Shamsher

Thanks , Akram.

Thanks, Thomas.