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Abstract
This paper analyzes the long-term effects of COVID-19 on financial volatility. We estimate the long memory parameters before and after COVID-19 for the VIX and realized variances for several international markets. Our results show that volatility measures for most countries experienced increases in the degrees of memory following the pandemic. Moreover, several volatility measures became nonstationary, signaling the start of a period with higher and more persistent financial volatility. We show that these changes in the degrees of memory are statistically significant using a test for change in persistence.
Originalsprog | Engelsk |
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Artikelnummer | 102056 |
Tidsskrift | Finance Research Letters |
Vol/bind | 44 |
ISSN | 1544-6123 |
DOI | |
Status | Udgivet - 6 jan. 2022 |
Bibliografisk note
© 2021 The Author(s).Fingeraftryk
Dyk ned i forskningsemnerne om 'The Persistence of Financial Volatility After COVID-19'. Sammen danner de et unikt fingeraftryk.Projekter
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The economic and financial repercussions of COVID-19
Vera-Valdés, J. E. & Rodríguez Caballero, C. V.
01/03/2020 → 28/02/2023
Projekter: Projekt › Forskning