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August 7, 2025Journal of Forecasting

Modeling Volatility Dynamics in Emerging Markets: Novel Evidence From Large Set of Predictors

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Authors

MGMaria GhaniQQQuande QinSKShehroze Khan

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Overview

Modeling volatility dynamics in emerging markets reveals robust predictors impacting stock market performance.

Key Points

  • Economic policy uncertainty is a significant predictor of stock market volatility, particularly in emerging markets.
  • The results indicate a consistent predictive performance during recession periods and the COVID-19 pandemic.
  • A variety of uncertainty factors, including geopolitical risk and climate risk, enhance forecasting accuracy for equity market volatility.
  • Incorporating multiple predictors facilitates better financial decision-making for policymakers and investors.

Cite This Study

Ghani et al. (2025) studied this question.

synapsesocial.com/papers/689522009f4f1c896c428ecehttps://doi.org/10.1002/for.70009
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Also Consider

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  1. 1China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong2017 · 14 citations
  2. 2Forecasting the Equity Risk Premium: The Role of Technical Indicators2014 · 1,039 citations