The persistence of financial volatility after COVID-19

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...

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Detalles Bibliográficos
Autor principal: Vera-Valdés, J. Eduardo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760359/
https://www.ncbi.nlm.nih.gov/pubmed/36570048
http://dx.doi.org/10.1016/j.frl.2021.102056
Descripción
Sumario: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.

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