The Role of Macroeconomic Variables in Forecasting Equity Market Volatility in the East Aftican Community


  • Lin Wen Sheng SILC Business School, Shanghai University, China
  • Mutebi Jade SILC Business School, Shanghai University, China


GARCH, MIDAS, stock market, forecast volatility, East African Community


This study delves into the dynamic relationship between macroeconomic variables and equity market volatility in the East African Community. The research employs the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model coupled with the Mixed Data Sampling (MIDAS) approach. Through a comparative process, it is found that the different macroeconomic variables exhibit heterogeneous effects on the different countries in the East African community that is macroeconomic factors significantly explain the variation in stock market volatility in Uganda and including these factors in the GARCH MIDAS model improved its forecasting ability, however, for Kenya it was found that majority of the macroeconomic variables had insignificant effects on stock market volatility and didn’t improve the forecasting ability of the GARCHMIDAS model.


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How to Cite

Sheng, L. W., & Jade, M. (2024). The Role of Macroeconomic Variables in Forecasting Equity Market Volatility in the East Aftican Community. ESI Preprints, 25, 222. Retrieved from