全球经济政策不确定性对韩国KOSPI股市波动的影响
The Impact of Global Economic Policy Uncertainty on the Long-Term Volatility of the South Korean KOSPI Stock Market

本研究采用GJR-GARCH-MIDAS模型，探讨全球经济政策不确定性(GEPU)对韩国KOSPI股市波动的影响。主要结果如下：首先，已实现波动率的增加对股市长期成分波动有显著正向影响；其次，全球经济政策不确定性对KOSPI股市长期波动产生显著负向影响；最后，在GJR-GARCH-MIDAS模型中同时考虑已实现波动率和全球经济政策不确定性时，对股市长期波动的预测显著提升，相较于基准模型，最大可降低6.7%的预测损失。
This study employs the GJR-GARCH-MIDAS model to investigate the impact of global economic policy uncertainty (GEPU) on the volatility of the South Korean KOSPI stock market. The main empirical results are as follows: Firstly, The increase in realized volatility has a significant positive impact on the long-term component volatility of the stock market. Secondly, global economic policy uncertainty negatively affects the long-term volatility component of the KOSPI stock market. Finally, when inputting both realized volatility and global economic policy uncertainty factors in the GJR-GARCH-MIDAS model, the prediction (result) of the long-term component volatility of the stock market significantly improves, reducing prediction loss up to 6.7%, as compared to the base line model.