Longitudinal Volatility Analysis of OMX Tallinn Index in the case of the emerging stock market of Estonia using PARCH Model

The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to 2022 in three major period phases i.e. 2002-2008, 2009- 2015 and 2016 to 2022. Moreover, it attempted to formulate PARCH Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases of 1826 observations each. The selected period covers a series of extreme events such as the global financial crisis, the COVID-19 pandemic, the war between Russia and Ukraine that began in 2021 and others. The empirical results are relevant and contribute to the existing literature.