Longitudinal Volatility Analysis of OMX Tallinn Index in the case of the emerging stock market of Estonia using PARCH Model
Longitudinal Volatility Analysis of OMX Tallinn Index in the case of the emerging stock market of Estonia using PARCH Model
Author(s): Bharat Kumar Meher, Ramona Birau, Abhishek Anand, Ion Florescu, Mircea Laurenţiu SimionSubject(s): National Economy, Health and medicine and law, Economic development, Financial Markets, Socio-Economic Research
Published by: Editura Universitaria Craiova
Keywords: PARCH model; asymmetric volatility; GARCH family models; Longitudinal Volatility Analysis; emerging stock market; leverage effect; COVID-19 pandemic; global financial crisis (GFC); extreme events;
Summary/Abstract: The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to 2022 in three major period phases i.e. 2002-2008, 2009- 2015 and 2016 to 2022. Moreover, it attempted to formulate PARCH Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases of 1826 observations each. The selected period covers a series of extreme events such as the global financial crisis, the COVID-19 pandemic, the war between Russia and Ukraine that began in 2021 and others. The empirical results are relevant and contribute to the existing literature.
Journal: Revista de Științe Politice. Revue des Sciences Politiques
- Issue Year: 2023
- Issue No: 78
- Page Range: 94-106
- Page Count: 13
- Language: English