000012062 001__ 12062 000012062 005__ 20240528040630.0 000012062 0247_ $$2doi$$a10.6082/uchicago.12062 000012062 037__ $$aTHESIS 000012062 037__ $$bThesis 000012062 041__ $$aeng 000012062 245__ $$aThe Asymmetric Impacts of Economic Policy Uncertainty on the Different Types of Stock’s Volatility 000012062 260__ $$bUniversity of Chicago 000012062 269__ $$a2024-06 000012062 336__ $$aThesis 000012062 502__ $$bM.A. 000012062 520__ $$aThis study investigates the impacts of the Economic Policy Uncertainty Index on the different types of stocks’ volatility. We use the standard VAR models between the EPU index and the GARCH volatility of each stock index (large-cap growth, large-cap value, small-cap growth, and small-cap value stocks). We analyze their impulse response functions, especially the responses and accumulated responses of the GARCH volatility of each stock index to the EPU index innovation. The empirical results show that the EPU index influences the volatility of value stocks more than that of growth stocks for both large-cap and small-cap stocks. In addition, small-cap value stocks are affected by the EPU index the most. 000012062 542__ $$fCC BY 000012062 6531_ $$aeconomic policy uncertainty 000012062 6531_ $$avolatility 000012062 6531_ $$anews 000012062 6531_ $$alarge-cap and small- cap stock 000012062 6531_ $$avalue and growth stock 000012062 6531_ $$atime series 000012062 6531_ $$aGARCH 000012062 6531_ $$avector autoregression 000012062 6531_ $$aimpulse response function 000012062 690__ $$aSocial Sciences Division 000012062 691__ $$aQuantitative Methods in Social, Behavioral, and Health Sciences 000012062 7001_ $$aLee, Minjun$$uUniversity of Chicago 000012062 72012 $$aJeffrey Russell 000012062 72014 $$aMax Smith 000012062 8564_ $$99af16b5e-99fd-4eb5-8a77-df443a28941f$$ePublic$$s870035$$uhttps://knowledge.uchicago.edu/record/12062/files/MA%20Thesis_Jun%20Lee.pdf 000012062 908__ $$aI agree 000012062 909CO $$ooai:uchicago.tind.io:12062$$pGLOBAL_SET$$pTheses 000012062 983__ $$aThesis