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...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-11-01
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| Series: | Data Science in Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/DSFE.2024022 |
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