The Persistence of Financial Volatility After COVID-19

J. Eduardo Vera-Valdés*

*Corresponding author

Research output: Contribution to journalJournal articlepeer-review

1 Citation (Scopus)
3 Downloads (Pure)


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.
Original languageEnglish
Article number102056
JournalFinance Research Letters
Publication statusE-pub ahead of print - 19 Apr 2021


  • COVID-19
  • Pandemic
  • Persistence change
  • Realized variance
  • VIX
  • Volatility


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