Title: On the asymmetric impact of macrovariables on volatility
Authors: Alessandra Amendola - University of Salerno (Italy) [presenting]
Vincenzo Candila - University of Salerno (Italy)
Giampiero Maria Gallo - Italian Court of Auditors - Corte dei conti (Italy)
Abstract: The GARCH-MIDAS is extended to take into account possible different impacts from positive and negative macroeconomic variations on financial market volatility. We evaluate the proposed specification by a Monte Carlo simulation which shows good estimation properties with the increase in the sample size. The empirical application is performed on the daily S\&P500 volatility dynamics with the U.S. monthly industrial production and national activity index as additional (signed) determinants. In the out-of-sample analysis, our proposed GARCH-MIDAS model statistically outperforms the competing specifications, represented by different symmetric and asymmetric GARCH model specifications.