... and Shenzhen ETS in China. It integrates exogenous factors, in aspect of economic, financial, energy and environment, to identify key drivers of ETS market volatility. First, this study applies the GARCH-MIDAS model to process mixed-frequency data. Second, this paper employs the Lasso method to select the most...

.... First proposed by Engle (1982) , the basic GARCH (1, 1) model is defined as (1) r t = c 0 + γ r t − 1 + ε t Investor sentiment Market volatility MIDAS regression model GARCH-MIDAS model Mixed-frequency data Classical finance theory gives...