气候变化领域集成服务门户(CCPortal): Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa

CCPortal

DOI	10.3390/cli12050068
	Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa
	Wu, Kejin; Karmakar, Sayar; Gupta, Rangan; Pierdzioch, Christian
发表日期	2024
EISSN	2225-1154
起始页码	12
结束页码	5
卷号	12 期号:5
英文摘要	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 variance-stabilizing transformation (NoVaS transformation) and are guided by a so-called model-free prediction principle. Applying the new models to data for South Africa, we find that climate-related information is helpful in forecasting stock return volatility. Moreover, the novel model-free prediction method can incorporate such exogenous information better than the classical GARCH approach, as revealed by the the squared prediction errors. More importantly, the forecast comparison test reveals that the advantage of applying exogenous information related to climate risks in prediction of the South African stock return volatility is significant over a century of monthly data (February 1910-February 2023). Our findings have important implications for academics, investors, and policymakers.
英文关键词	climate risks; volatility forecasting; model-free prediction; GARCH and GARCHX; South Africa
语种	英语
WOS研究方向	Meteorology & Atmospheric Sciences
WOS类目	Meteorology & Atmospheric Sciences
WOS记录号	WOS:001232659900001
来源期刊	CLIMATE
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/296274
作者单位	University of California System; University of California San Diego; State University System of Florida; University of Florida; University of Pretoria; Helmut Schmidt University
推荐引用方式 GB/T 7714	Wu, Kejin,Karmakar, Sayar,Gupta, Rangan,et al. Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa[J],2024,12(5).
APA	Wu, Kejin,Karmakar, Sayar,Gupta, Rangan,&Pierdzioch, Christian.(2024).Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa.CLIMATE,12(5).
MLA	Wu, Kejin,et al."Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa".CLIMATE 12.5(2024).