MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets

► We assess out-of-sample volatility forecasting performance of the Mixed Data Sampling (MIDAS) model. ► The MIDAS model offers statistically better forecasting precision for highly volatile periods. ► This finding is mainly due to MIDAS' ability to exploit fluctuations in higher frequency data. ► The results suggest fruitful implications for stress testing, option pricing, and trading options.