Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model

Detalhes bibliográficos
Autor(a) principal: Adams, Frederike
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/140588
Resumo: The joint work of Adams and Hass denteufel (2021) concludes that the GARCH model is appropriate to capture stock market volatility during the Covid-19 pandemic. Here, we analyse characteristics of the 11 GICS sectors and identify their volatility drivers. We include new Covid-19cases and various independent variables as variance regressors. The Covid-19 effect on stock volatility remains positive and mostly significant for pairwise combinations of independent variables but loses significance when IRis introduced. Including more than two variance regressors, the Covid-19 effect is no longer significant for any sector while IR, CPI and EPU still hold explanatory power.
id RCAP_4e18d6c9667b1dd1ad0f71b2ed396272
oai_identifier_str oai:run.unl.pt:10362/140588
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH modelCovid-19VolatilityUs stock marketGicsGarch modelDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe joint work of Adams and Hass denteufel (2021) concludes that the GARCH model is appropriate to capture stock market volatility during the Covid-19 pandemic. Here, we analyse characteristics of the 11 GICS sectors and identify their volatility drivers. We include new Covid-19cases and various independent variables as variance regressors. The Covid-19 effect on stock volatility remains positive and mostly significant for pairwise combinations of independent variables but loses significance when IRis introduced. Including more than two variance regressors, the Covid-19 effect is no longer significant for any sector while IR, CPI and EPU still hold explanatory power.Pereira, Luis BritesRUNAdams, Frederike2022-06-23T14:59:39Z2022-01-132021-12-172022-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140588TID:202972828enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:46Zoai:run.unl.pt:10362/140588Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:43.977847Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
title Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
spellingShingle Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
Adams, Frederike
Covid-19
Volatility
Us stock market
Gics
Garch model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
title_full Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
title_fullStr Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
title_full_unstemmed Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
title_sort Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
author Adams, Frederike
author_facet Adams, Frederike
author_role author
dc.contributor.none.fl_str_mv Pereira, Luis Brites
RUN
dc.contributor.author.fl_str_mv Adams, Frederike
dc.subject.por.fl_str_mv Covid-19
Volatility
Us stock market
Gics
Garch model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Covid-19
Volatility
Us stock market
Gics
Garch model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The joint work of Adams and Hass denteufel (2021) concludes that the GARCH model is appropriate to capture stock market volatility during the Covid-19 pandemic. Here, we analyse characteristics of the 11 GICS sectors and identify their volatility drivers. We include new Covid-19cases and various independent variables as variance regressors. The Covid-19 effect on stock volatility remains positive and mostly significant for pairwise combinations of independent variables but loses significance when IRis introduced. Including more than two variance regressors, the Covid-19 effect is no longer significant for any sector while IR, CPI and EPU still hold explanatory power.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-06-23T14:59:39Z
2022-01-13
2022-01-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/140588
TID:202972828
url http://hdl.handle.net/10362/140588
identifier_str_mv TID:202972828
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799138095193391104

Registros relacionados