GARCH (1, 1) models and analysis of stock market turmoil during COVID-19 outbreak in an emerging and developed economy

B Setiawan, M Ben Abdallah, M Fekete-Farkas… - Journal of Risk and …, 2021 - mdpi.com
COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The
pandemic has caused volatilities in the financial market at varying magnitudes, in the …

[PDF][PDF] Stock price volatility during the COVID-19 pandemic: The GARCH model

E Endri, W Aipama, R Septiano - … & Financial Innovations, 2021 - pdfs.semanticscholar.org
This study examined the response of stock prices on the Indonesia Stock Exchange (IDX) to
COVID-19 using an event study approach and the GARCH model. The research sample is …

Response of stock market during COVID-19 and 2008 financial crisis: A comparative evidence from BRICS nations

S Kumar, J Kaur, MI Tabash, DK Tran… - The Singapore …, 2021 - World Scientific
This study attempts to examine the response of stock markets amid the COVID-19 pandemic
on prominent stock markets of the BRICS nation and compare it with the 2008 financial crisis …

COVID-19 pandemic & financial market volatility; evidence from GARCH models

M Khan, UN Kayani, M Khan, KS Mughal… - Journal of Risk and …, 2023 - mdpi.com
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 …

The effects of Covid-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models

MO Adenomon, B Maijamaa… - Journal of Statistical …, 2022 - samudera.um.edu.my
The recent COVID-19 was first identified in Wuhan, China in December 2019 and now it has
caused huge death and spread to almost all over the world. There are news that most of the …

Covid-19 crisis and stock market volatility in Nigeria: a garch model approach

CO Anastasia, CE Victor, O Ezekiel - International Research Journal of …, 2022 - neliti.com
The economic downturns locally and Internationally due to the COVID-19 crisis were the
main motivation for this study. However, rather than broadly examining economic indices …

Action for action: mad COVID-19, falling markets and rising volatility of SAARC region

A Saleem - Annals of Data Science, 2022 - Springer
Abstract The Southern Region has reported a large number of contagious pandemic
outbreaks. These epidemics brought threats to human health and resulted in serious …

Volatility in international stock markets: An empirical study during COVID-19

R Chaudhary, P Bakhshi, H Gupta - Journal of Risk and Financial …, 2020 - mdpi.com
Predicting volatility is a must in the finance domain. Estimations of volatility, along with the
central tendency, permit us to evaluate the chances of getting a particular result. Financial …

The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model

N Apergis, E Apergis - Asia-Pacific Journal of Accounting & …, 2022 - Taylor & Francis
This paper examines the effect of Covid-19 pandemic on the Chinese stock market returns
and their volatility using the generalized autoregressive conditionally heteroskedastic …

COVID-19 and Islamic stock index: Evidence of market behavior and volatility persistence

A Saleem, J Bárczi, J Sági - Journal of Risk and Financial Management, 2021 - mdpi.com
The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It
has also changed social and economic aspects of the world. This study investigated the …