Table 3 GARCH-MIDAS regression on geopolitical risk and industry volatility

Panel A: GARCH-MIDAS-RV [Baseline Model]

ALSI

0.0006***

(0.0001)

0.0896***

(0.0072)

0.8899***

(0.0103)

0.0691

(0.0455)

1.2293

(1.8472)

0.0107***

(0.0010)

BM

0.0005***

(0.0001)

0.0656***

(0.0052)

0.9158***

(0.0082)

0.1315***

(0.0190)

1.0109***

(0.0390)

0.0130***

(0.0012)

COND

0.0011***

(0.0001)

0.0837***

(0.0075)

0.8760***

(0.0132)

0.1944***

(0.0094)

1.7605***

(0.4899)

0.0063***

(0.0009)

CONS

0.0006***

(0.0001)

0.0713***

(0.0049)

0.9001***

(0.0092)

0.0911***

(0.0281)

1.9071

(1.8251)

0.0110***

(0.0008)

ENERG

0.0007***

(0.0002)

0.0961***

(0.0046)

0.8599***

(0.0079)

0.1860***

(0.0075)

7.1049***

(0.8492)

0.0122***

(0.0010)

FIN

0.0008***

(0.0002)

0.1492***

(0.0205)

0.5301***

(0.0512)

0.2841***

(0.0066)

1.0010***

(0.0069)

0.0001

(0.0005)

HLTC

0.0013***

(0.0001)

0.9413***

(0.0104)

0.0494***

(0.0107)

1.3052

(0.9452)

46.8460***

(6.4029)

0.0737

(0.0544)

IND

0.0006***

(0.0001)

0.1005***

(0.0083)

0.8480***

(0.0148)

0.1513***

(0.0130)

2.1469***

(0.8060)

0.0079***

(0.0006)

TECH

0.0007***

(0.0001)

0.1584***

(0.0090)

0.6849***

(0.0176)

0.2071***

(0.0029)

2.9028***

(0.2242)

0.0061***

(0.0003)

TELEC

0.0005**

(0.0002)

0.0943***

(0.0085)

0.7881***

(0.0198)

0.1706***

(0.0068)

5.9328***

(0.8083)

0.0114***

(0.0006)

Panel B: GARCH-MIDAS-GPR_GLOBAL

ALSI

0.0006***

(0.0001)

0.0862***

(0.0067)

0.8973***

(0.0081)

− 0.0054**

(0.0025)

38.076

(67.894)

0.0003***

(0.0001)

BM

0.0005***

(0.0001)

0.0572***

(0.0039)

0.9346***

(0.0046)

− 0.0093*

(0.0053)

29.725

(47.921)

0.0007***

(0.0002)

COND

0.0011***

(0.0001)

0.0672***

(0.0048)

0.9237***

(0.0050)

− 0.0062

(0.0039)

39.5120

(75.9020)

0.0004

(0.0001)

CONS

0.0011***

(0.0001)

0.0671***

(0.0047)

0.9111***

(0.0067)

− 0.0149***

(0.0043)

1.0045***

(0.3821)

0.0008***

(0.0002)

ENERG

0.0006***

(0.0002)

0.0735***

(0.0024)

0.9226***

(0.0023)

− 0.1257***

(0.0381)

1.0015***

(0.2013)

0.0065***

(0.0018)

FIN

0.0013***

(0.0002)

0.2308***

(0.0227)

0.6519***

(0.0238)

0.1672***

(0.0148)

1.2221***

(0.0717)

− 0.0071***

(0.0006)

HLTC

0.0014***

(0.0001)

0.8654***

(0.0093)

0.1181***

(0.0110)

-0.4811

(0.3850)

49.5280***

(8.8483)

0.0274

(0.0219)

IND

0.0006***

(0.0001)

0.0916***

(0.0070)

0.8829***

(0.0092)

0.0095*

(0.0051)

1.5048

(1.6841)

− 0.0002

(0.0002)

TECH

0.0008***

(0.0001)

0.0725***

(0.0026)

0.9244***

(0.0024)

0.0419

(0.0359)

2.4959

(2.6107)

− 0.0012

(0.0015)

TELEC

0.0005**

(0.0002)

0.0529***

(0.0036)

0.9324***

(0.0046)

− 0.0052

(0.0067)

26.0280

(104.47)

0.0006**

(0.0003)

Panel C: GARCH-MIDAS-GPR_ZAF

ALSI

0.0006***

(0.0001)

0.0883***

(0.0069)

0.8930***

(0.0086)

0.0046*

(0.0027)

1.4698

(1.2882)

0.0002***

(0.00008)

BM

0.0005***

(0.0001)

0.0578***

(0.0041)

0.9340***

(0.0050)

− 0.0061

(0.0063)

4.9528

(6.3226)

0.0005

(0.0009)

COND

0.0011***

(0.0001)

0.0685***

(0.0050)

0.9219***

(0.0053)

− 0.0004

(0.0030)

6.9763

(68.8450)

0.0002

(0.0005)

CONS

0.0006***

(0.0001)

0.0691***

(0.0048)

0.9083***

(0.0071)

− 0.0065***

(0.0019)

1.0594**

(0.4657)

− 0.0005

(0.0005)

ENERG

0.0007***

(0.0002)

0.0736***

(0.0025)

0.9222***

(0.0025)

− 0.0178

(0.01194)

10.6350

(9.3347)

0.0002

(0.0003)

FIN

0.0002

(0.0002)

0.0334***

(0.0031)

0.8812***

(0.0111)

0.0592***

(0.0004)

1.0067***

(0.0027)

0.0021***

(0.0001)

HLTC

0.0013***

(0.0001)

0.9103***

(0.0092)

0.0834***

(0.0096)

− 0.3324

(0.5375)

9.6699**

(4.8190)

0.0052

(0.0087)

IND

0.0007***

(0.0001)

0.1258***

(0.0078)

0.8712***

(0.0078)

0.0883*

(0.0480)

4.6876***

(0.1053)

0.0035*

(0.0019)

TECH

0.0008***

(0.0001)

0.0774***

(0.0028)

0.9196***

(0.0025)

− 0.0230***

(0.0084)

49.9480**

(19.4710)

0.0001

(0.0001)

TELEC

0.0005**

(0.0002)

0.0531***

(0.0035)

0.9321***

(0.0046)

− 0.0026

(0.0024)

15.5020

(32.5630)

0.0003***

(0.0000)