Estimating volatility patterns using GARCH models: A case study on Swedish stock market

Estimating volatility patterns using GARCH models: A case study on Swedish stock market

The main aim of this research paper is to estimate volatility patterns using GARCH models based on a case study on Swedish stock market. The selected time period covers the long time interval from December 2008 to December 2022. In other words, the analyzed period includes certain extreme events suc...

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Veröffentlicht in:Revista de Stiinte Politice 2023-06 (78), p.50-59
Hauptverfasser: Birau, Ramona, Trivedi, Jatin, Baid, Rachana, Florescu, Ion, Simion, Mircea Laurenţiu
Format: Artikel
Sprache:eng
Schlagworte:
Case studies
Econometric models
Epidemics
Financial Markets
National Economy
Romania
Socio-Economic Research
Stock markets
Stocks
Sweden
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Zusammenfassung:The main aim of this research paper is to estimate volatility patterns using GARCH models based on a case study on Swedish stock market. The selected time period covers the long time interval from December 2008 to December 2022. In other words, the analyzed period includes certain extreme events such as global financial crisis of 2008 and COVID-19 pandemic which had a significant impact on most stock markets in Europe. The econometric framework includes GARCH family models. This empirical research study contributes to the existing literature on the behavior of the developed stock market from Sweden.
ISSN:1584-224X
2344-4452