Article citationsMore>>

Conrad, C., & Kleen, O. (2020). Two Are Better than One: Volatility Forecasting Using Multiplicative Component GARCH‐MIDAS Models. Journal of Applied Econometrics, 35, 19-45.
https://doi.org/10.1002/jae.2742

has been cited by the following article:

• TITLE: Economic Policy Uncertainty and Gold Futures Volatility: A GARCH-MIDAS Approach

  AUTHORS: Rui Wu, Liu Zhuang, Mengfan He

  KEYWORDS: Gold Futures, Economic Policy Uncertainty, GARCH-MIDAS Model, Volatility Prediction, Out-of-Sample Testing

  JOURNAL NAME: Open Journal of Business and Management, Vol.14 No.3, April 8, 2026

  ABSTRACT: Gold, as a special precious metal, has long been regarded by investors as an effective hedging tool with “safe haven” characteristics. This paper embeds global economic policy uncertainty (EPU) into the GARCH-MIDAS framework to examine the impact and predictive contribution of EPU on the volatility of U.S. gold futures. The out-of-sample predictive accuracy of different models is statistically tested using loss functions, model confidence sets (MCS), and out-of-sample R 2 . Empirical results show that EPU has a significant negative impact on the volatility of the gold futures market; compared with competing models, the GARCH-MIDAS-EPU model incorporating EPU exhibits consistently significant superiority in predictive accuracy.