Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach

In this study, we employ the GARCH–MIDAS (Generalised Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling) model to investigate response stock market volatility BRICS group countries (Brazil, Russia, India, China, and South Africa) oil shocks. We utilise recent datasets Baumeister & Hamilton (2019), where shocks are decomposed into four variants: supply shocks, economic activity consumption inventory further decompose each these positive negative our findings show heterogeneous alternative including The differing responses across could be attributed differences in size, production, profile countries, share distribution firms, financial system regulation efficiency.