Determining the Return Volatility of Major Stock Markets Before and During the COVID-19 Pandemic by Applying the EGARCH Model

With this study, we aim to determine the effect of Covid-19 pandemic on return volatility DJI, DAX, FTSE100 and CAC40 stock indexes. We take between 1st January 2019 17th July 2020 split it into two separate periods - before outbreak first wave ‘In-Pandemic’ period. Only so-called was chosen avoid influence knowledge possible vaccines antiviral solutions. Data were analysed by using exponential GARCH (EGARCH) model. Findings show excessive in major markets with short persistence presence leverage returns during outbreak. Moreover, period, positive shocks have been observed a greater than negative socks index volatility.