ASSESSMENT OF VOLATILITY IN ASIAN STOCK MARKETS DURING COVID-19 PANDEMIC PERIOD BY USING ARCH/ GARCH MODEL
Keywords:
GARCH, EGARCH, TGARCH, Volatility, StationarityAbstract
The purpose of this study is to investigate the volatility and leverage effect of the eight Asian covid-19 cases recorded in county stock market indexes during the novel coronavirus outbreak (Covid-19). Daily time series data of observed stock market indices from 1st February to 30th April 2021 were evaluated using descriptive statistics, the GARCH model, the EGARCH model, and the TGARCH model. During the outbreak of Covid-19, the standard deviation number substantiates the increase in volatility in a specific stock market index. The GARCH result confirms the presence of higher volatility in all of the studied stock markets, except the Malaysia (KLCI Index) stock market, during the Covid-19 era. In all eight nations analyzed, the asymmetry coefficient is negative, indicating that variance increases more after negative residuals (stock returns) than after positive residuals (returns). During the outbreak of the coronavirus pandemic, the EGARCH finding demonstrates that the leverage effect exists in observed stock market indices. The outcome demonstrates the impact of unfavorable news on certain worldwide stock market activity during the Covid-19 pandemic's breakout.
References
Athukoralalage (2011). K.P.I. Modelling Australian Stock Market Volatility. 1–161. https://ro.uow.edu.au/cgi/viewcontent.cgi?referer=https://scholar.google.com/&httpsredir=1& arti-cle=4435&context=theses (accessed on 5 October 2019)
Azimili A, (2020). the impact of COVID-19 on the degree of de-pendence and structure of risk-return relationship: A quantile regression approach. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101648
Bhowmik, & Wang,(2018). An investigation of return and volatility linkages among stock markets: A study of emerging Asian and selected developed countries. J. Int. Trad. Com., 14, 1–29
Bollerslev, T.(1986). Generalized autoregressive conditional het-eroskedasticity. J. Econ. 31, 307–327.
Chang et al. (2011). Lead-lag relationship, volatility asymmetry, and overreaction phenomenon. Manag. Finance. 3, 47–71.
Chen, X. (2012).Empirical Investigations into Stock Market Inte-gration and Risk Monitoring of the Emerging Chinese Stock Markets. University of St Andrews: St Andrews, UK, 1–314. Available online: https://research-repository.st-andrews.ac.uk/handle/10023/3208
Engle, R.F.( 1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. Inflation. Economics, 50, 987–1008.
Jebran, K.&Iqbal, A.(2016).Examining volatility spillover between Asian countries’ stock markets. China Financ. Econ. Rev., 4, 1–13.
Kumar, A.; Biswal, S.K.(2019).Impulsive clustering and leverage effect of emerging stock market with special reference to Bra-zil, India, Indonesia, and Pakistan. J. Adv. Res. Dyn. Control Syst., 11, 33–37.
Leduc S &Liu Z, (2020). The Uncertainty Channel of the Corona-virus. FRBSF Econ. Lett
Leung, M.T.; Daouk, H.; Chen, A.S.( 2000) Forecasting stock indi-ces: A comparison of classification and level estimation models. Int. J. Forecast. 16, 173–190.
Nelson, D.B. (1991) Conditional heteroskedasticity in asset re-turns: A new Approach. Economics , 59, 347–370.
Neokosmidis, I. (2009) Econometric Analysis of Realized Volatili-ty: Evidence of Financial Crisis, 1–22.
Osagie et al., (2020). On the Effect of COVID-19 outbreak on the Nigerian Stock Exchange performance: Evidence from GARCH Models. doi:10.20944/preprints202004.0444.v1
Ozili P& Arun T, (2020).Spillover of COVID-19: impact on the global economy. MPRA paper no 9985
Pati, et al. (2017). Forecasting stock market volatility and infor-mation content of implied volatilityindex. Appl. Econ., 50, 2552–2568
Shehzad K et al. 2020). COVID-19's disasters are perilous than Global Financial Crisis: A rumor or Fact? Financial Research Letters https://doi.org/10.1016/j.frl.2020.101669.
Singh et al. (2008).Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Marke. Indian Institute of Management Ahmedabad: Ahmedabad, India,1–45. Available online: http://vslir.iima.ac.in:8080/jspui/handle/11718/17115
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2022 K. Mallikarjuna Rao
This work is licensed under a Creative Commons Attribution 4.0 International License.
