COVID-19 Pandemic & Financial Market Volatility; Evidence from GARCH Models

Across the globe, COVID-19 has disrupted financial markets, making them more volatile. Thus, this paper examines market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, Sugar during pandemic. We applied GARCH (1, 1), GJR-GARCH EGARCH 1) econometric models on daily time series returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level persistence in all markets Moreover, Oil index shows significant positive Apart this, results also reveal that is most appropriate model capture volatilities before pandemic, whereas period for whole period, each family evenly volatile six markets. This study provides investors policymakers with useful insight into adopting effective strategies constructing portfolios crises future.