Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Volatility is the most widespread measure of risk. modeling allows investors to capture potential losses and investment opportunities. This work aims examine impact two waves COVID-19 infections on return volatility stock market indices euro area countries. The study also focuses other important aspects such as time-varying risk premium leverage effect. investigation employed Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns markets from 4 January 2016 31 December 2020 has been used for analysis. results reveal that respond differently pandemic. Specifically, first wave had a notable countries middle-large financial centres while second significant only Belgium.