Revista Universidad y Empresa Vol. 28 Núm. 50

Forecasting volatility in emerging markets is challenging due to their unique characteristics, including data quality issues, structural instability, and complex nonlinear relationships. The garch-midas model has emerged as a promising alternative, combining the strengths of garch to incorporate mixed-frequency data, critical for modeling financial phenomena. While this approach is used to study volatility, the study of oil prices and oil shocks as drivers of volatility in emerging markets is particularly appealing given these economies’ vulnerability to such shocks, their dependence on oil revenue, and global economic disrup-tions. Objective: to explore and analyze the literature on the use of garch-midas in emerging markets. Methodology: a systematic literature review combined with a bibliometric analysis under the prismaframework to ensure clarity, transparency, and reproducibility

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