Comparative Analysis of Financial Market Volatility and Correlation Risk During the Great Recession and the COVID-19 Pandemic
Comparative Analysis of Financial Market Volatility and Correlation Risk During the Great Recession and the COVID-19 Pandemic
Author(s): Fabio GOBBISubject(s): Economy, Supranational / Global Economy, Financial Markets
Published by: Centrul European de Studii Manageriale și Administrarea Afacerii - CESMAA
Keywords: volatility; GARCH processes; HAR models; Copula functions; correlation risk;
Summary/Abstract: This paper offers a starting point for reflection on the similarities and differences of the impact on financial markets of the Great Recession of 2008 and of the Covid-19 pandemic of 2020 in terms of volatility and correlation risk among the most significant financial indexes in Europe. More precisely, the dataset employed includes the daily returns of Ftse100, CaC40, Dax30 and FtseMib40, with reference to the two time periods in which the two major crises manifested their effects on the markets. We use two different methodological approaches: the analysis of the daily conditional variance using various families of GARCH models and the study of the weekly realized volatility using HAR models. Furthermore, the estimation of the dependence structure of the GARCH residuals using copula functions is performed.
Journal: Journal of Applied Economic Sciences (JAES)
- Issue Year: XIX/2024
- Issue No: 2(84)
- Page Range: 109-129
- Page Count: 21
- Language: English
