Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment

Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment

We use a quantile machine learning (random forests) approach to analyse the predictive ability of newspapers-based macroeconomic attention indexes (MAIs) on eight major fundamentals of the United States on the realized volatility of a major commodity-exporting emerging stock market, namely South Afr...

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Bibliographic Details
Main Authors: Rangan Gupta, Jacobus Nel, Christian Pierdzioch
Format: Article
Language:English
Published: MDPI AG 2023-03-01
Series:Mathematics
Subjects:
stock markets
realized volatility
macroeconomic attention
sentiment
quantile random forests
prediction models
Online Access:https://www.mdpi.com/2227-7390/11/6/1371

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