This paper studies the effect of COVID-19 on volatility Australian stock returns and negative positive news (shocks) by investigating asymmetric nature shocks leverage impact volatility. We employ a generalised autoregressive conditional heteroskedasticity (GARCH) model extend analysis using exponential GARCH (EGARCH) to capture asymmetry allegedly leverage. proxy related health system its econ...

In this study, the volatility of two Asian stock markets, Bursa Malaysia and Singapore Exchange, is estimated. The analysis used data on daily closing prices indices respective markets between July 1, 2019 August 31, 2020. sample split into subsample periods: Pre-COVID-19 pandemic during COVID-19 pandemic. We estimated a standard GARCH, GARCH-M, TGARCH, EGARCH PGARCH model for each subsample. c...

GARCH-type models have been highly developed since Engle [1982] presented ARCH process 30 years ago. Different kinds of GARCH-type models are applicable to different kinds of research purposes. As documented by many literatures that short-memory processes with level shifts will exhibit properties that make standard tools conclude long-memory is present. Therefore, in this paper, we want to fore...

Many finance questions require the predictive distribution of returns. We propose a bivariate model of returns and realized volatility (RV), and explore which features of that time-series model contribute to superior density forecasts over horizons of 1 to 60 days out of sample. This term structure of density forecasts is used to investigate the importance of: the intraday information embodied ...

In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the resul...

Purpose The purpose of this study is to assess the extent which Ghana stock market performance has been impacted by novel COVID-19 pandemic. Design/methodology/approach used exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model, using daily time series data from 2 January 2015 13 October 2020. Both pre-estimation (Augmented Dickey-Fuller and Phillips-Perron) post-...