Econometric Modeling of the Impact of the COVID-19 Pandemic on the Volatility of the Financial Markets
The purpose of this paper is to identify econometric models likely to highlight the impact of the COVID-19 pandemic on the financial markets. The Markov-switching “GARCH and EGARCH” models are suitable for analyzing and forecasting the series of daily returns of the major global stock indices (i.e.,...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-06-01
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| Series: | Engineering Proceedings |
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| Online Access: | https://www.mdpi.com/2673-4591/39/1/14 |