Accounting and Finance Research Community – Professor Rob Sollis

Title: Forecasting UK  Stock Market Volatility: The Importance of Policy Uncertainty and Quantitative Easing

Date: 17 January 2024

Time: 13:00-14:00

Location: NUBS.2.03

Speaker: Professor Rob Sollis

If you would like to attend, please register using the following link:

Forecasting UK Stock Market Volatility: The Importance of Policy Uncertainty and Quantitative Easing

Abstract

This paper focuses on the importance of economic policy uncertainty and quantitative easing by the Bank of England for UK stock market volatility forecasting. Vector autoregressive and GARCH models are used to study this issue for a range of stock market indices covering large, medium, and small capitalisation stocks. For several indices we find a positive causal relationship between a popular news-based indicator of economic policy uncertainty and the volatility of the index, and that volatility forecasts can be improved by including this indicator in forecasting models. We also find evidence of a positive link between quantitative easing and policy uncertainty, and we investigate the implications of this result for volatility forecasting.

Rob will be presenting on some of the work undertaken while on sabbatical last academic year.  It will be of interest to many of us to know more about Rob’s research, in relation both to our own research and teaching.  I hope you will join us to offer plenty of comments on his work.