Research on Alternative Fuel Vehicle Fluctuation Based on GARCH-MIDAS Model

Abstract

This article uses the GARCH-MIDAS model to analyze the impact of economic uncertainty on the volatility of the new energy vehicle market. Economic uncertainty includes economic policy uncertainty and macroeconomic uncertainty. Use EPU as the proxy variable for economic policy uncertainty, and the Manufacturing Purchasing Managers Index (PMI) as the proxy variable for macroeconomic uncertainty. The results indicate that economic policy uncertainty has a significant negative impact on the volatility of the new energy vehicle market. The PMI index's impact weight on the new energy vehicle sector has slowly decreased over the past 12 months, indicating that the macroeconomic indicators of the manufacturing industry have a relatively long impact on the new energy vehicle sector, which takes about a year to dissipate, The fluctuation of economic policy uncertainty on the new energy vehicle market is transmitted through the EPU index, and the impact of economic policy uncertainty presents a short-term effect. Policy shocks are absorbed within 2 months and will not have a long-term impact on the stock market. Among all economic uncertainty factors, economic operation has the most significant impact on long-term volatility. Overall, macroeconomic uncertainty does not have a significant impact on the volatility of the new energy vehicle market, and its contribution is limited.