Investigating Stylized Facts and Long-Term Volatility Patterns Using GARCH Models: An Empirical Case Study for the Russian Stock Market
Investigating Stylized Facts and Long-Term Volatility Patterns Using GARCH Models: An Empirical Case Study for the Russian Stock Market
Author(s): Jatin Trivedi, Cristi Spulbăr, Ramona Birău, Ion FlorescuSubject(s): Methodology and research technology, Health and medicine and law, Financial Markets
Published by: Editura Universitaria Craiova
Keywords: volatility pattern; GARCH models; stock market; stylized facts; COVID – 19 pandemic; global financial crisis (GFC);
Summary/Abstract: This research paper investigates the behaviour of Russian stock market for the sample period from January 2000 to April 2022. The econometric approach is based on the application of GARCH family models and on various tests and statistical methods. This empirical research also examines stylized facts and long-term volatility patterns for the Russian stock market. The empirical analysis was also focused on revealing the dynamics of the selected stock market under the impact of certain extreme events, such as: the recent conflict between Russia and Ukraine, the COVID – 19 pandemic, the global financial crisis (GFC) of 2007 - 2008.
Journal: Revista de Științe Politice. Revue des Sciences Politiques
- Issue Year: 2022
- Issue No: 74
- Page Range: 73-81
- Page Count: 9
- Language: English