In order to further understand the effects of macroeconomic factors on the stock market volatility and liquidity and solve the problem that the traditional volatility measurement model loses high-frequency data information in the modeling of the influence of macroeconomic factors on stock market volatility, monthly consumer price index, daily exchange rate, and monthly money supply are taken as the main indicators to investigate the stock market liquidity in the research. Meanwhile, CARCH-MIDAS model is used to investigate the factors affecting stock market liquidity. Through the model test, it is found that the H value of the volatility effect model of the three factors is 0.0307, and the H value of the horizontal effect model is 0.0220, and the result of the horizontal effect model is closest to 1%. The results show that CARCH-MIDAS model is relatively accurate in quantitative evaluation and prediction of the stock market liquidity and volatility.
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