The Persistence of Financial Volatility After COVID-19

J. Eduardo Vera-Valdés*

*Kontaktforfatter

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

1 Citationer (Scopus)
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Abstrakt

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.
OriginalsprogEngelsk
Artikelnummer102056
TidsskriftFinance Research Letters
ISSN1544-6123
DOI
StatusE-pub ahead of print - 19 apr. 2021

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