Do Frequency Differences Overshadow Sustainability Impact? The GARCH-MIDAS Example

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Uluslararası Ekonomi İşletme ve Politika Dergisi
Cilt: 9 Sayı: 2
Do Frequency Differences Overshadow Sustainability Impact? The GARCH-MIDAS Example

Do Frequency Differences Overshadow Sustainability Impact? The GARCH-MIDAS Example

Pages : 651-664

View : 46 | Download : 94

Publication Date : 2025-10-06

Article Type : Research Paper

Abstract :This study analyzes the effect of carbon dioxide (〖CO〗_2) emissions per capita, which is an important indicator of environmental sustainability, on the volatility of Borsa Istanbul 100 (BIST100) index through financial data at different frequencies (daily, weekly and monthly). Since environmental data are at annual frequency and financial returns are at high frequency, GARCH-MIDAS(1,1) model was preferred. This model enables analysis by integrating the low-frequency structure of macro variables with the high-frequency nature of financial market variables. The findings of the study show that the effect of environmental variables on volatility varies depending on the data frequency. Especially in the weekly data frequency, both short-term and long-term parameters were found to be statistically significant and the performance of the model reached the highest level. The results reveal that frequency differences can significantly affect the sustainability-finance relationship and that the correct frequency selection plays a critical role in the analysis.
Keywords : GARCH-MIDAS, Çevresel Sürdürülebilirlik, Veri Frekansı Karşılaştırması

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