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Volatility Modelling and Trading Volume of the CARS Equity Indices

In: Advances in Cross-Section Data Methods in Applied Economic Research

Author

Listed:
  • Niel Oberholzer

    (University of Johannesburg)

  • Chalté Venter

    (University of Johannesburg)

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.

Suggested Citation

  • Niel Oberholzer & Chalté Venter, 2020. "Volatility Modelling and Trading Volume of the CARS Equity Indices," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Cross-Section Data Methods in Applied Economic Research, chapter 0, pages 333-354, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-38253-7_21
    DOI: 10.1007/978-3-030-38253-7_21
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