The Persistence of Financial Volatility After COVID-19

J. Eduardo Vera-Valdés*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

18 Citations (Scopus)
82 Downloads (Pure)

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 languageEnglish
Article number102056
JournalFinance Research Letters
Volume44
ISSN1544-6123
DOIs
Publication statusPublished - 6 Jan 2022

Bibliographical note

© 2021 The Author(s).

Keywords

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

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