Purpose: The purpose of this research paper is to analyse the relationship between macroeconomic fundamentals and stock market volatility. Although much progress has been made studying stock market volatility, there still exists a great divide amongst researchers on sources of volatility and forecasting abilities of the models used. We approach these issues using a GARCH‐MIDAS (Mixed Data Sampling) model which allows us to study the link between low frequency macroeconomic data and high frequency market data without losing the information embedded in stock market returns data. Originality: The originality of the paper lies in extending previous work by using a large number of countries that have diverse economic paradigms. Design/methodology/approach: We apply the GARCH‐MIDAS model to our dataset using Matlab. Findings: By expanding the dataset to include a large number of countries, we can shed light on whether it is indeed the case that macroeconomic fundamentals have little influence on stock market volatility. Research limitations/implications: The research will highlight the ability of the GARCH‐MIDAS model to incorporate macroeconomic variables directly into the specification of volatility dynamics. Practical and social implications: The research will provide asset managers will a novel look at market volatility and, hence, improved risk measures which will have a positive effect on the asset allocation process.