| Autor: |
JATIN TRIVEDI, Associate Professor, Ph.D, CRISTI SPULBAR, Professor Ph.D, RACHANA BAID, Professor Ph.D, RAMONA BIRAU, Lecturer Ph.D, ANCA IOANA IACOB (TROTO), PhD student |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
|
| Zdroj: |
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, Iss 1, Pp 6-15 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
1844-7007 |
| Popis: |
This study examines changes in volatility clusters and volatility patterns using GARCH class models in the Netherlands stock market in the context of the COVID-19 pandemic and global financial crisis (GFC) pandemic. The movement pattern of the AEX stock market index during the sample period from January 3, 2000 to December 2, 2022 a daily closing adjusted prices considered for the empirical investigation. The global financial crisis and the COVID-19 pandemic's effects are both included in the sample period. GARCH (1,1), GJR (1,1), and EGARCH (1,1) models are part of the econometric framework. By adding further empirical data on the long-term behavior of the Netherlands stock market, this empirical study adds to the body of current literature. We find changes in volatility after the COVID – 19 pandemic period, sharp rise in the index levels and presence of leverage effect in returns. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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