Xuebao Yin

1 Introduction The financialization of commodity markets has progressed significantly, with commodities now regarded as important hedging instruments in investment portfolios. Crude oil, as one of the most critical commodities, plays a vital role in industrial production and transportation. Consequently, forecasting crude oil-market volatility has become crucial for assessing market trends and risks, benefiting both investors and policymakers.

We propose a GARCH-MIDAS model with skewness and kurtosis. The RMB exchange rate return distributions exhibit the characteristics of time-varying higher moments. Global EPU has a significantly positive impact on the RMB exchange rate volatility. Both time-varying higher moments and EPU capture predictive information over RMB exchange rate volatility. We investigate the predictive value of time-varying higher moments and economic policy uncertainty (EPU) for renminbi exchange rate volatility.

Tweet Facebook LinkedIn Save this article Send to Print this page We propose a GARCH-MIDAS model with skewness and kurtosis. The RMB exchange rate return distributions exhibit the characteristics of time-varying higher moments. Global EPU has a significantly positive impact on the RMB exchange rate volatility. Both time-varying higher moments and EPU capture predictive information over RMB exchange rate volatility.