Seybold Report ISSN: 1533-9211
Dr. Rameen Devi Assistant Professor, IIHS, Department of Economics, Kurukshetra University Kurukshetra, Haryana, India
Dr. Sanjeev Bansal Chairman & Professor, Department of Economics, Kurukshetra University Kurukshetra, Haryana, India
Dr. Monika Assistant Professor, Department of Economics, Kurukshetra University Kurukshetra, Haryana, India
Vol 17, No 06 ( 2022 ) | DOI: 10.5281/zenodo.7223442 | Licensing: CC 4.0 | Pg no:195-209 | Published on: 30-06-2022
Abstract
The volatility of stock market is an estimate of how much the total value of the stock market goes up and down. When external events cause uncertainty, stock market volatility might rise. We can estimate the likelihood of getting a certain result using volatility estimate and the central tendency. The present study analyzed the impact of the Covid on the volatility of the stock market indices of the top five countries in number of the Covid confirmed cases applying the Autoregressive Conditional Heteroscedasticity (ARCH) family models (GARCH, GARCH-M, TGARCH & EGARCH) models. For this objective, daily return of market indices from 03 June, 2019 to 23 Feb, 2022 have been analyzed. Further the study period has been divided in five periods according to different waves of the Covid. The main finding revealed that volatility shocks are quite persistent and the impact of old news on volatility is significant for all indices. Whereas EGARCH output supports the existence of leverage effect in stock return at all stock exchanges during the period studied.
Keywords:
Uncertainty, Conditional Heteroscedasticity, Volatility, Leverage Effect, Stock Exchange, Likelihood