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Meanwhile, a growing body of studies has found that economic policy uncertainty (EPU) has important impact on stock market volatility. In this paper, building on the range\u2010based volatility model, namely, the conditional autoregressive range (CARR) model, we introduce the CARR\u2010mixed\u2010data sampling (CARR\u2010MIDAS) model framework by considering intraday information to investigate the impact of EPU on the volatility of Chinese stock market and to explore the predictive ability of EPU for Chinese stock market. The empirical results show that both the China EPU (CEPU) and global EPU (GEPU) have a significantly negative effect on the long\u2010run volatility of Chinese stock market. Furthermore, we find that taking into account the CEPU and GEPU leads to substantial improvement in the ability to forecast the volatility of Chinese stock market. We also find that the CEPU provides superior volatility forecasts compared to the GEPU. Our findings are robust to different forecasting windows.<\/jats:p>","DOI":"10.1155\/2021\/4527314","type":"journal-article","created":{"date-parts":[[2021,9,30]],"date-time":"2021-09-30T20:44:57Z","timestamp":1633034697000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":14,"title":["Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR\u2010MIDAS Approach"],"prefix":"10.1155","volume":"2021","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1240-9933","authenticated-orcid":false,"given":"Xinyu","family":"Wu","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Tianyu","family":"Liu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Haibin","family":"Xie","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2021,9,30]]},"reference":[{"key":"e_1_2_8_1_2","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_8_2_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeca.2019.e00133"},{"key":"e_1_2_8_3_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01746.x"},{"key":"e_1_2_8_4_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.08.007"},{"key":"e_1_2_8_5_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2015.08.009"},{"key":"e_1_2_8_6_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2016.04.011"},{"key":"e_1_2_8_7_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2017.04.076"},{"key":"e_1_2_8_8_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2016.09.002"},{"key":"e_1_2_8_9_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2017.10.040"},{"key":"e_1_2_8_10_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.08.019"},{"key":"e_1_2_8_11_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.02.034"},{"key":"e_1_2_8_12_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.07.056"},{"key":"e_1_2_8_13_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2018.08.016"},{"key":"e_1_2_8_14_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.03.018"},{"key":"e_1_2_8_15_2","doi-asserted-by":"publisher","DOI":"10.1162\/rest_a_00300"},{"key":"e_1_2_8_16_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2018.03.083"},{"key":"e_1_2_8_17_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2021.125794"},{"key":"e_1_2_8_18_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2019.07.002"},{"key":"e_1_2_8_19_2","doi-asserted-by":"crossref","unstructured":"WangX. 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