The East-Asian stock markets during the COVID-19 pandemic
DOI:
https://doi.org/10.1234/cgr.v1i1.413Palabras clave:
Stock Markets, East Asia, COVID-19, ARCH/GARCH ModelsResumen
We study the dynamics and volatilities of six East Asian stock market indices during the COVID-19 pandemic with five types of ARCH/GARCH models. The main results are: 1) Most of the volatilities of the series of returns show leverage effects; 2) the FIGARCH(1,1,1) model is the best one to describe the series of returns associated to the Shenzen and Shangai-Composite indices; 3) the GJR-GARCH(1,1,1) model is the best one to describe the series associated to the Hang-Seng, KOSPI and Nikkei-225 indices; and, 4) the APARCH(1,1,1,1) model is the best one to describe the series associated to the Taiwan-Weighted index. We develop the study with daily indices for the period between January 2nd, 2020 and December 16th, 2021.
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