Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility

Vincenzo Candila; Oguzhan Cepni; Giampiero M. Gallo; Rangan Gupta

doi:10.1007/978-3-031-64431-3_54

Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility

Vincenzo Candila^*
, Oguzhan Cepni
, Giampiero M. Gallo
, Rangan Gupta

^*Corresponding author for this work

Department of Economics

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

Abstract

Recently, there has been a growing interest in estimating the global and local Economic Policy Uncertainty (EPU). The resulting global EPU indexes have been used as additional exogenous covariates within mixed-frequency volatility models like the GARCH-MIDAS, usually improving the volatility forecasts. On the other side, the literature lacks analyses where the local (in the sense of state-specific) stock market volatilities are also influenced by local EPU indexes. This paper aims to fill this gap. In particular, we investigate the stock market’s daily volatility in ten states of the United States by including a variety of local and global EPU indexes.

Original language	English
Title of host publication	Methodological and Applied Statistics and Demography III : SIS 2024, Short Papers, Contributed Sessions 1
Editors	Alessio Pollice, Paolo Mariani
Publisher	Springer
Publication date	2025
Pages	321-327
ISBN (Print)	9783031644306, 9783031644337
ISBN (Electronic)	9783031644313
DOIs	https://doi.org/10.1007/978-3-031-64431-3_54
Publication status	Published - 2025
Event	The 52nd Scientific Meeting of the Italian Statistical Society - University of Bari Aldo Moro, Bari, Italy Duration: 17 Jun 2024 → 20 Jun 2024 Conference number: 52 https://sis2024.sis-statistica.it/

Conference

Conference	The 52nd Scientific Meeting of the Italian Statistical Society
Number	52
Location	University of Bari Aldo Moro
Country/Territory	Italy
City	Bari
Period	17/06/2024 → 20/06/2024
Internet address	https://sis2024.sis-statistica.it/

Series	Italian Statistical Society Series on Advances in Statistics (ISSSAS)
ISSN	3059-2135

Keywords

Financial markets
GARCH-MIDAS
EPU

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Cite this

Candila, Vincenzo ; Cepni, Oguzhan ; Gallo, Giampiero M. et al. / Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility. Methodological and Applied Statistics and Demography III: SIS 2024, Short Papers, Contributed Sessions 1. editor / Alessio Pollice ; Paolo Mariani. Springer, 2025. pp. 321-327 (Italian Statistical Society Series on Advances in Statistics (ISSSAS)).

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title = "Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility",

abstract = "Recently, there has been a growing interest in estimating the global and local Economic Policy Uncertainty (EPU). The resulting global EPU indexes have been used as additional exogenous covariates within mixed-frequency volatility models like the GARCH-MIDAS, usually improving the volatility forecasts. On the other side, the literature lacks analyses where the local (in the sense of state-specific) stock market volatilities are also influenced by local EPU indexes. This paper aims to fill this gap. In particular, we investigate the stock market{\textquoteright}s daily volatility in ten states of the United States by including a variety of local and global EPU indexes.",

keywords = "Financial markets, GARCH-MIDAS, EPU, Financial markets, GARCH-MIDAS, EPU",

author = "Vincenzo Candila and Oguzhan Cepni and Gallo, \{Giampiero M.\} and Rangan Gupta",

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booktitle = "Methodological and Applied Statistics and Demography III",

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Candila, V, Cepni, O, Gallo, GM & Gupta, R 2025, Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility. in A Pollice & P Mariani (eds), Methodological and Applied Statistics and Demography III: SIS 2024, Short Papers, Contributed Sessions 1. Springer, Italian Statistical Society Series on Advances in Statistics (ISSSAS), pp. 321-327, The 52nd Scientific Meeting of the Italian Statistical Society, Bari, Italy, 17/06/2024. https://doi.org/10.1007/978-3-031-64431-3_54

Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility. / Candila, Vincenzo; Cepni, Oguzhan; Gallo, Giampiero M. et al.
Methodological and Applied Statistics and Demography III: SIS 2024, Short Papers, Contributed Sessions 1. ed. / Alessio Pollice; Paolo Mariani. Springer, 2025. p. 321-327 (Italian Statistical Society Series on Advances in Statistics (ISSSAS)).

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

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Candila V, Cepni O, Gallo GM, Gupta R. Local and Global Economic Policy Uncertainty Influence on US Stock Market Volatility. In Pollice A, Mariani P, editors, Methodological and Applied Statistics and Demography III: SIS 2024, Short Papers, Contributed Sessions 1. Springer. 2025. p. 321-327. (Italian Statistical Society Series on Advances in Statistics (ISSSAS)). doi: 10.1007/978-3-031-64431-3_54