The impact of the covid-19 pandemic on the stock markets of some countries in the MENA region: An assessment with GARCH modeling

This study examines the impact of COVID-19 pandemic on stock market volatility for indices a few MENA countries. The analysis consists several elements: first, we assess this infectious disease standard deviations variables; second, analyze influence number new daily cases and deaths these returns; third, coronavirus variables using GARCH models. We find that minimum value most occurred in March 2020. Additionally, results regression reveal dummy variable, cases, have all had significant negative volatility. Finally, model reveals coefficients conditional variance equation positive indices, further indicating outbreak increased