Volatility dynamics of airline and airport stocks in emerging economies: Evidence from Turkey, China, and Thailand using a GARCH-MIDAS approach (2014–2024)

This study applies the GARCH-MIDAS-RV framework to analyze the volatility behavior of airline and airport stocks in three major emerging economies Turkey, China, and Thailand during the 2014–2024 period. By integrating high-frequency realized volatility data with low-frequency macroeconomic factors such as the US dollar exchange rate and interest rates, which we interpret as core drivers of macro-financial uncertainty in emerging aviation markets, the model reveals how long-term macroeconomic conditions shape short-term market fluctuations. To more clearly illustrate the impact of structural changes, crisis indicators representing periods of financial stress specific to each country and capturing distinct macro-financial uncertainty regimes were included in the model. These indicators include the COVID-19 pandemic, strong-dollar shocks, the period of high interest rates in Turkey, and stock market turbulence in China. Unlike earlier studies centered on developed markets or single events, this paper compares multiple crisis episodes in emerging economies. The results highlight how macroeconomic uncertainty and crisis dynamics interact to shape volatility in the aviation industry, thereby underscoring macro-financial uncertainty as a key channel through which these shocks are transmitted to airline and airport stocks. The empirical results show that macroeconomic variables have significant long-term explanatory power in the MIDAS component. At the same time, crisis dummies strengthen the clustering of short-term volatility in the GARCH process. Overall, the findings enhance the literature by extending the application of GARCH-MIDAS to emerging economies and offering new insights into the interaction among macroeconomic conditions, crises, and volatility transmission in the global aviation sector. • Airline stock volatility across Turkey, China, and Thailand is modeled via GARCH-MIDAS. • COVID-19 increased airline volatility mainly in Thailand, with limited impact in Turkey and China. • Country-specific crises amplified volatility in Turkey and China more than global shocks. • Study enhances understanding of crisis-driven volatility under macro-financial uncertainty in global aviation sectors. • Macroeconomic and crisis-related uncertainty drives time-varying volatility across emerging markets.