The Role of Macroeconomic Variables in Forecasting Equity Market Volatility in the East African Community Using Garch-Midas Model

  • Lin Wen Sheng SILC Business School, Shanghai University, China
  • Mutebi Jade SILC Business School, Shanghai University, China
Keywords: GARCH, MIDAS, stock market, forecast volatility, East African Community


This study delves into the dynamic relationship between macroeconomic variables and equity market volatility in the East African Community. The research employs the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model coupled with the Mixed Data Sampling (MIDAS) approach. Through a comparative process, it is found that the different macroeconomic variables exhibit heterogeneous effects on the different countries in the East African community that is macroeconomic factors significantly explain the variation in stock market volatility in Uganda and including these factors in the GARCH-MIDAS model improved its forecasting ability, however, in Kenya it was found that majority of the macroeconomic variables had insignificant effects on stock market volatility and didn’t improve the forecasting ability of the GARCH-MIDAS model.


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How to Cite
Sheng, L. W., & Jade, M. (2024). The Role of Macroeconomic Variables in Forecasting Equity Market Volatility in the East African Community Using Garch-Midas Model. European Scientific Journal, ESJ, 20(4), 1.
ESJ Social Sciences