Volatility dynamics of the Tunisian stock market before and during the <scp>COVID</scp>‐19 outbreak: Evidence from the <scp>GARCH</scp> family models

The aim of this article is to choose the appropriate GARCH model analyse volatility dynamics Tunisian sectorial stock market indices during COVID-19 outbreak period. We explore optimal conditional heteroscedasticity with regards goodness-of-fit these indices. In particular, it proposes four models (EGARCH, FIGARCH, FIEGARCH and TGARCH) measure asymmetric persistence volatility. Our findings point three interesting results. First, following outbreak, more persistent in all series. Second, results show that building constructs materials, construction food beverage sector return volatilities have an insignificant effect while consumer service, financials distribution, industrials, basic materials banks relatively high positive significant compared those pre-COVID-19 Finally, financial services, automobile parts, insurance TUNINDEX20 sectors leverage effect. can thus be useful investors when accounting for future implementing hedging strategies under crisis.