I am trying to understand how climate risk impacts the financial market and I am calculating VaR and ES. I am applying the GARCH-MIDAS model to the FTSE MIB, using the Climate Policy Uncertainty Index (CPU) by Konstantinos Gavriilidis as an explanatory variable. The problem is that within my model confidence set, the best results are given by the GARCH and GJR models, while the GARCH-MIDAS is always the worst. Is this possible? P.S. I am using functions provided by my professor to calculate the