This paper explores the effects of global economic policy uncertainty (GEPU) on conditional volatility in the gold futures market using Markov regime-switching GARCH-MIDAS models. The in-sample empirical results suggest that GEPU indeed contains predictive information for the gold futures market, and higher GEPU leads to higher volatility within the gold futures market. Moreover, the novel model, which adds Markov regime switching with time-varying transition probabilities and the GEPU index, achieves relatively better performance than those of the other competing models from a statistical point of view. Furthermore, we discuss the asymmetric effects of different changes in GEPU on the gold futures market and the models' performances with different horizons, and we find that our new model has better predictive performance under negative changes in GEPU than under positive changes in GEPU. Further discussion also confirms that our previous findings are robust during two special cases, the global financial crisis and European debt crisis, during which the market suffered from fierce fluctuations and was fraught with considerable uncertainty.

中文翻译：

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全球经济政策不确定性和黄金期货市场波动：来自马尔可夫政权转换 GARCH-MIDAS 模型的证据

本文使用马尔可夫政权转换 GARCH-MIDAS 模型探讨了全球经济政策不确定性 (GEPU) 对黄金期货市场条件波动的影响。样本内的实证结果表明，GEPU 确实包含对黄金期货市场的预测信息，较高的 GEPU 导致黄金期货市场内的更高波动性。此外，从统计的角度来看，新模型增加了具有时变转移概率和 GEPU 指数的马尔可夫状态切换，实现了比其他竞争模型更好的性能。此外，我们讨论了 GEPU 的不同变化对黄金期货市场的不对称影响以及模型在不同视野下的表现，我们发现我们的新模型在 GEPU 的负变化下比在 GEPU 的正变化下具有更好的预测性能。进一步的讨论也证实了我们之前的研究结果在全球金融危机和欧债危机这两个特殊情况下是稳健的，在这两个特殊情况下，市场经历了剧烈的波动，充满了相当大的不确定性。