Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa
Kejin Wu,
Sayar Karmakar,
Rangan Gupta
et al.
Abstract:Because climate change broadcasts a large aggregate risk to the overall macroeconomy and the global financial system, we investigate how a temperature anomaly and/or its volatility affect the accuracy of forecasts of stock return volatility. To this end, we do not apply only the classical GARCH and GARCHX models, but rather we apply newly proposed model-free prediction methods, and use GARCH-NoVaS and GARCHX-NoVaS models to compute volatility predictions. These two models are based on a normalizing and varianc… Show more
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