Bibliometric and Empirical Analysis of Volatility Dynamics in Emerging Markets: Policy Uncertainty, Global Spill-through, and Modern Forecasting Approaches

Abstract

As financial globalization intensifies, equity volatility in emerging markets (EM) is getting more complicated and non-symmetric. The EM volatility literature from 2010 to 2026 is comprehensively analysed in this study by applying systematic literature review (SLR) and PRISMA protocol. The detailed bibliometric mapping carried out as part of the study reveals that, while a stationary model is prevalent in the literature, newer forecasting methods such as Dynamic Model Averaging (DMA) can easily identify regime shifts and structural breaks and GARCH-MIDAS can combine low and high frequency data. The results show that Economic Policy Uncertainty (EPU), international liquidity cycles, and energy shocks are the primary drivers of next-generation systematic volatility, along with the Covid-19 pandemic, geopolitical risks and cryptocurrency diffusion channels. The research aspires to fill the void of a more proactive risk management approach to the risks of international interconnectedness networks and to the creation of more resilient policy mechanisms to face up to the risks of digital contagion channels, in providing an empirically based strategic decision-support guide for policy makers and portfolio managers.