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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