The effect of the Covid pandemic on stock market volatility: Separating initial impact from time-to-recovery

We develop an extension to the GARCHX model - named GARCHX-NL - that captures a key stylized fact for stock market return data seen during the COVID-19 pandemic: an abrupt jump in volatility at the onset of the crisis, followed by a gradual return to its precrisis level. We apply the GARCHX-NL proce...

Full description

Saved in:
Bibliographic Details
Main Authors: Jin Zeng, Yijia Zhang, Yun Yin, Peter G Moffatt
Format: Article
Language:English
Published: AIMS Press 2024-11-01
Series:Data Science in Finance and Economics
Subjects:
Online Access:https://www.aimspress.com/article/doi/10.3934/DSFE.2024022
Tags: Add Tag
No Tags, Be the first to tag this record!