The Impact Of Macroeconomic On Stock Market Volatility

As a barometer to predict macroeconomic changes,stock market is an important part of a country's economy,which plays an important role in financing funds,resource allocation and risk aversion.However,due to the imperfection of the internal mechanism and regulatory framework of the stock market in China,to a certain extent,the country needs to carry out corresponding macroeconomic regulation to prevent the large-scale fluctuation of the stock market.Therefore,this paper studies the impact of macro-economy on the volatility of the stock market,which is very important for the healthy development of the stock market.Traditional volatility measurement models mostly use the same frequency data to model the impact of macroeconomic variables on the volatility of the stock market,which greatly loses the effective information contained in high-frequency data.In order to solve this problem,Engle proposed the GARCH-MIDAS model based on the MIDAS regression model.This article considers the leverage effect and frequency data,put forward the realized EGARCH-MIDAS model,and decomposed the volatility into two parts: long-term and short-term,and take macroeconomic variables as the influencing factors for long-term volatility.The single-factor and double-factor the realized EGARCH-MIDAS models are established respectively from the level value and volatility of macroeconomic variables to study the impact of macroeconomic variables on stock market volatility.In the empirical research,we first discuss the effect of the realized EGARCH-MIDAS model with high-frequency data and leverage effect on the prediction of stock market volatility.Secondly,the single-factor realized EGARCH-MIDAS model is established from the level value and volatility of macroeconomic variables to study the influence of macroeconomic variables on long-term volatility of stock market.Finally,we study the influence of the two-factor realized EGARCH-MIDAS model including high-frequency financial data and low-frequency macroeconomic data on the long-term stock market volatility.The stock data selected for the empirical analysis in this paper are the return rate of the Shanghai composite index,the realized volatility constructed based on high-frequency data every 5 minutes,and the macroeconomic variables selected are the money supply,consumer price index,the 30-day interbank lending rate,industrial value added and the uncertainty index of macro-economic policies.The empirical results show that the level value and volatility of the money supply and consumer price index in the single-factor realized EGARCH-MIDAS model have a very significant impact on the stock market volatility,and the uncertainty index of macroeconomic policy has a significant influence on the long-term fluctuation of the stock market only in the aspect of level,the 30-day interbank lending rate has a significant influence on the fluctuation of the stock market only in the aspect of volatility,and the industrial added value has little influence on the fluctuation of the stock market in the aspect of level and volatility;the impact of the volatility of macroeconomic variables on the long-term volatility of the stock market is significantly higher than its corresponding level value;and the two-factor realized EGARCH-MIDAS model,which includes high-frequency financial data and low-frequency macroeconomic data,is superior to the single-factor realized EGARCH-MIDAS model in both the in-sample fitting effect and the out-of-sample prediction ability.