Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?

The onset of the COVID-19 pandemic has increased volatility in financial markets, motivating researchers to investigate its impact. Some use GARCH family models focus on long-memory persistence, while others Markov chain better identify structural breaks and regimes. However, no study addressed occurrence these two phenomena a unified framework. Since both are important features data, ignore one or other could lead poorly specified models. outcome would be incorrect risk measurement, with implications for management, Value at risk, portfolio decisions, forecasting, option pricing. This paper aims fill this gap literature. We assemble an international dataset 16 stock market indices three continents over period from August 1, 2019 February 18, 2022, totalling 669 business days. Using R, we estimate 80 models, pure Markov-Switching 900 combined GARCH/ using daily log-returns. allow regimes (low high). also measure incorporate News Impact Curves, which show how past shocks affect contemporaneous volatility. Our main finding, across estimated is that affected persistence most markets. To describe specific impact each market, report Curves. Lastly, first wave had much greater than did subsequent waves linked emergence new variants.