Abstract

In this paper，we tests and analyzes the relationship between CSI 300 Index and the economic uncertainty index based on the GARCH-MIDAS model and its extended models. The results show that the long-term fluctuation of the stock market can effectively describe the long-term fluctuation characteristics of the stock market. However, the long-term volatility of the stock market is relatively stable and has significant counter-cyclical characteristics. The overall contribution rate of stock market volatility based on economic policy uncertainty index is relatively low, while the contribution of stock market fluctuation is relatively large，which is an important factor in the stock market volatility.

Key words

Long-term Stock Market Volatility Economic Policy Uncertainty GARCH-MIDAS Model

        DOI: https://doi.org/10.16699/b.cnki.jqe.2019.01.010