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Financial Innovation

Table 2 Results of regression-based test

From: Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

\(X_{t}\)

c

\(w_{0}\)

F-statistic

\(^{\bigtriangleup }\)GEPU

2.947***

0.532***

9.71***

(0.000)

(0.002)

(0.002)

\(^{\bigtriangleup }\)EEPU

2.945***

0.561***

12.890***

(0.000)

(0.000)

(0.001)

  1. ***, **, *Indicate significance at the 1%, 5%, 10% levels, respectively. The values in parentheses are the p values
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