Volatility Modelling and Trading Volume of the CARS Equity Indices

Niel Oberholzer and Chalté Venter
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Niel Oberholzer: University of Johannesburg
Chalté Venter: University of Johannesburg

Chapter Chapter 21 in Advances in Cross-Section Data Methods in Applied Economic Research, 2020, pp 333-354 from Springer

Abstract: Abstract In this study, the effectOberholzer, Niel and significance of new information on the volatility of different markets (developed vs. emerging) are considered. The effect of newVenter, Chalté information on volatility is tested in a GARCH framework. Data for four commodity-based equity markets is used for the analysis. The Akaike and Schwarz information criterion are used to the fitted univariate GARCH models, and the root-mean-square error and mean absolute error are used to compare the forecasting performance. Empirical results show that new information (trading volume) does improve forward-looking estimates of volatility. There is not a significant difference in terms of the effect of new information in volatility modelling when developed and emerging markets are considered.

Keywords: GARCH; Forecasting; Trading volume; Asymmetry (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-38253-7_21

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DOI: 10.1007/978-3-030-38253-7_21

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