We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen's Skewed-t distribution with EGARCH extended to control for sudden changes in volatility. We oversee the COVID-19 effect on measures of downside risk such as the Value-at-Risk. Our results show that there is a significant sudden shift up in the return distribution variance post the announcement of the pandemic, which must be explained properly to obtain reliable measures for financial risk management.
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| http://www.ncbi.nlm.nih.gov/pmc/articles/PMC8863910 | PMC |
| http://dx.doi.org/10.1016/j.frl.2021.102024 | DOI Listing |
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