Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets
by Dharen Kumar Pandey; Vineeta Kumari
International Journal of Financial Services Management (IJFSM), Vol. 11, No. 3, 2022

Abstract: We analyse 17 stock market indices in the Asia-Pacific region to examine the impacts of the COVID-19 on the Asia-Pacific stock markets by interpreting the generalised autoregressive conditional heteroskedasticity (GARCH) coefficients. While evidencing the absence of ARCH and GARCH effects during the pre-COVID period, we also evidence volatility clustering and persistence during the COVID period. It is evidenced that negative impacts result in higher volatility than positive impacts. The presence of time-varying volatility in the Asia-Pacific region has not been previously studied. The available literature has focused either on a single market or on the developed markets. Hence, the findings of this study are expected to contribute significantly to the finance literature.

Online publication date: Wed, 09-Nov-2022

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