The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

Yan Li, Chao Liang, Feng Ma and Jiqian Wang

Finance Research Letters, 2020, vol. 36, issue C

Abstract: The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker (IDEMV) proposed by Baker et al. (2020) has additional predictive ability for European stock market volatility during the COVID-19 pandemic. The three European stock markets we consider are France, UK and Germany. Our investigation is based on the HAR and its augmented models. We find that the IDEMV has stronger predictive power for the France and UK stock markets volatilities during the global pandemic, and the VIX has also superior predictive ability for the three European stock markets during this period.

Keywords: Volatility forecasting; VIX; IDEMV; Global pandemic; COVID-19 (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320308515

DOI: 10.1016/j.frl.2020.101749

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