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Analysis of the Effects of the COVID-19 Crisis. An Application to the Phenomenon of Persistence and Asymmetry in Paris Stock Market Volatility
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: Kouam? Marcel Anzian
ISBN: 9786205490884
Год издания: 1905
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 56
Издательство: LAP LAMBERT Academic Publishing
Цена: 25002 тг
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Аннотация: The purpose of this book is to analyse the impact of the COVID-19 crisis on the phenomenon of persistence and asymmetric volatility of the Paris stock market. To do this, we have split our series into two periods before (from 03/01/2017 to 23/01/2020) and during (from 24/01/2020 to 21/10/2021) the COVID-19 crisis based on the appearance of the first case of COVID-19 in France (January 24, 2020). Subsequently, we applied a GARCH model to capture the phenomenon of volatility persistence and the EGARCH and GJR-GARCH models for asymmetric effects. The conclusions of this work led firstly to the confirmation of the increase in the persistence of the volatility of the CAC All-Share and CAC 40 indices and secondly to the appearance of an asymmetry effect in the behavior of volatility. These results imply that unlikely events outside the financial markets produce turbulence and uncertainties that drive the level of volatility to very high peaks following fluctuations in the valuation of financial assets listed on the stock exchange.
Ключевые слова: conditional volatility, GARCH modeling, Volatility persistence, Asymmetry effect of negative shocks, COVID-19 crisis