Modeling volatility in the stock markets of Spain and Hong Kong using GARCH family models in the context of COVID - 19 pandemic
Modeling volatility in the stock markets of Spain and Hong Kong using GARCH family models in the context of COVID - 19 pandemic

Summary/Abstract: This research paper investigates changes in volatility and attempts to capture it using statistical property for randomly selected stock markets of Spain and Hong Kong. The COVID - 19 pandemic has significantly affected the global economy and financial markets all around the world in recent few years. We consider data from January 2015 to September 2021 and various statistical and econometric tools being employed i.e. ADF test, correlation analysis, KPSS test, and GARCH family models. To describe visible impact, we used Loess fitness analysis and other density plots which demonstrate volatility scatter impact. The empirical findings revealed that GARCH (1, 1) model is not fitted to any of selected stock markets. However, the volatility of IBEX index was found stronger in magnitude manner.

• Details
• Contents