Projects per year
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.
Original language | English |
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Article number | 102056 |
Journal | Finance Research Letters |
Volume | 44 |
ISSN | 1544-6123 |
DOIs | |
Publication status | Published - 6 Jan 2022 |
Bibliographical note
© 2021 The Author(s).Keywords
- COVID-19
- Pandemic
- Persistence change
- Realized variance
- VIX
- Volatility
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Dive into the research topics of 'The Persistence of Financial Volatility After COVID-19'. Together they form a unique fingerprint.Projects
- 1 Finished
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The economic and financial repercussions of COVID-19
Vera-Valdés, J. E. (PI) & Rodríguez Caballero, C. V. (CoI)
01/03/2020 → 28/02/2023
Project: Research