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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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
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author Vera-Valdés, J. Eduardo
author_facet Vera-Valdés, J. Eduardo
author_sort Vera-Valdés, J. Eduardo
collection PubMed
description 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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spelling pubmed-97603592022-12-19 The persistence of financial volatility after COVID-19 Vera-Valdés, J. Eduardo Financ Res Lett Article 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. The Author(s). Published by Elsevier Inc. 2022-01 2021-04-19 /pmc/articles/PMC9760359/ /pubmed/36570048 http://dx.doi.org/10.1016/j.frl.2021.102056 Text en © 2021 The Author(s) Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Vera-Valdés, J. Eduardo
The persistence of financial volatility after COVID-19
title The persistence of financial volatility after COVID-19
title_full The persistence of financial volatility after COVID-19
title_fullStr The persistence of financial volatility after COVID-19
title_full_unstemmed The persistence of financial volatility after COVID-19
title_short The persistence of financial volatility after COVID-19
title_sort persistence of financial volatility after covid-19
topic Article
url 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
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