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Table 3 Full-sample estimates of GARCH-MIDAS models

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

Variables \(\mu\) \(\alpha\) \(\beta\) m \(\theta\) \(\omega\) LLF AIC
\(^{\bigtriangleup }GEPU\) 1.002E-03** 0.124*** 0.865*** − 6.990*** 16.978*** 1.117*** 5477.820 − 10,944
  (0.024) (0.000) (0.000) (0.000) (0.000) (0.000)   
\(^{\bigtriangleup }EEPU\) 0.987e−03** 0.120*** 0.870*** − 6.937*** 13.634*** 1.092*** 5475.020 − 10,938
  (0.026) (0.000) (0.000) (0.000) (0.000) (0.000)   
  1. ***, **, *Indicate significance at the 1%, 5%, 10% levels, respectively. The LLF is the log-likelihood function. The p values are shown in parentheses below the corresponding parameter estimates