Testing volatility spillovers using GARCH models in the Japanese stock market during COVID-19

Testing volatility spillovers using GARCH models in the Japanese stock market during COVID-19

This paper investigates volatility spillovers in the stock market in Japan during the COVID-19 pandemic by using GARCH family models. The empirical analysis is focused on the dynamics of the NIKKEI 225 stock market index during the sample period from July 30, 1998, to January 24, 2022. In other word...

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Bibliographic Details
Main Authors: Cristi Spulbar, Ramona Birau, Jatin Trivedi, Iqbal Thonse Hawaldar, Elena Loredana Minea
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2022-03-01
Series:Investment Management & Financial Innovations
Subjects:
COVID-19 pandemic
GARCH family models
global financial crisis
leverage effect
transmission patterns
volatility clustering
Online Access:https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16262/IMFI_2022_01_Spulbar.pdf

Internet

https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16262/IMFI_2022_01_Spulbar.pdf

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