Economic Policy Uncertainty and Emerging Stock Market Volatility

This research examines the effect of economic policy uncertainty (EPU) indices on Pakistan's stock market volatility. Particularly, we examine impact index for Pakistan and bilateral global trading partner countries, US, China, UK. We employ GARCH-MIDAS model combination forecast approach to evaluate performance indices. The empirical findings show that US is a more powerful predictor In addition, EPU UK also provides valuable information equity volatility prediction. Surprisingly, China have no significant predictive forecasting during sample period. Lastly, find evidence all upheaval from COVID-19 pandemic. obtained identical results even Covid-19. Our are robust in various evaluation methods, like MCS tests other windows.