COVID-19 pandemic & financial market volatility: Evidence from GARCH models
Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1...
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| Veröffentlicht in: | Journal of risk and financial management 2023-01, Vol.16 (1), p.1-20 |
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| creator | Khan, Maaz Kayani, Umar Nawaz Khan, Mrestyal Mughal, Khurrum Shahzad Haseeb, Mohammad |
| description | Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Moreover, the Crude Oil and S&P 500 index shows significant positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate model to capture the volatilities of the financial markets before the COVID-19 pandemic, whereas during the COVID-19 period and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study provides financial investors and policymakers with useful insight into adopting effective strategies for constructing portfolios during crises in the future. |
| doi_str_mv | 10.3390/jrfm16010050 |
| format | Article |
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Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Moreover, the Crude Oil and S&P 500 index shows significant positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate model to capture the volatilities of the financial markets before the COVID-19 pandemic, whereas during the COVID-19 period and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study provides financial investors and policymakers with useful insight into adopting effective strategies for constructing portfolios during crises in the future.</description><identifier>ISSN: 1911-8074</identifier><identifier>ISSN: 1911-8066</identifier><identifier>EISSN: 1911-8074</identifier><identifier>DOI: 10.3390/jrfm16010050</identifier><language>eng</language><publisher>Basel: MDPI</publisher><subject>Black swan event ; Coronaviruses ; COVID-19 ; EGARCH ; financial markets ; GARCH ; GJR-GARCH ; Investments ; Medical research ; Pandemics ; Securities markets ; Stochastic models ; Stock exchanges ; Time series ; Volatility</subject><ispartof>Journal of risk and financial management, 2023-01, Vol.16 (1), p.1-20</ispartof><rights>2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). 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| source | Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; MDPI - Multidisciplinary Digital Publishing Institute |
| subjects | Black swan event Coronaviruses COVID-19 EGARCH financial markets GARCH GJR-GARCH Investments Medical research Pandemics Securities markets Stochastic models Stock exchanges Time series Volatility |
| title | COVID-19 pandemic & financial market volatility: Evidence from GARCH models |
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