Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

Sisa Shiba, Juncal Cunado and Rangan Gupta
Additional contact information
Sisa Shiba: Department of Economics, University of Pretoria, Pretoria 0002, South Africa
Juncal Cunado: Department of Economics, University of Navarra, 20280 Pamplona, Spain

JRFM, 2022, vol. 15, issue 1, 1-18

Abstract: In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.

Keywords: uncertainty; infectious diseases; COVID-19; international stock markets; realised volatility; forecasting (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/1911-8074/15/1/18/pdf (application/pdf)
https://www.mdpi.com/1911-8074/15/1/18/ (text/html)

Related works:
Working Paper: Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:18-:d:717834

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().