In this paper we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric power GARCH/HEAVY models and MEM. We show that these non-negativity constraints are translated into simple matrix inequalities, which...

We investigate the question whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve's Survey of Professional Forecasters predict volatility...

We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of GARCH-MIDAS models suggested in Engle et al. (2013). In those models volatility is decomposed into a short-term GARCH component and a long-term component that is driven by...

We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results show that macroeconomic variables are important determinants of the secular component of stock market volatility. Among the various...

We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables...