Recently, there has been a growing interest in estimating the global and local Economic Policy Uncertainty (EPU). The resulting global EPU indexes have been used as additional exogenous covariates within mixed-frequency volatility models like the GARCH-MIDAS, usually improving the volatility forecasts. On the other side, the literature lacks analyses where the local (in the sense of state-specific) stock market volatilities are also influenced by local EPU indexes. This paper aims to fill this gap. In particular, we investigate the stock market’s daily volatility in ten states of the United States by including a variety of local and global EPU indexes.