MEASURING ASYMMETRIC VOLATILITY OF UK, FRANCE, AND GERMAN STOCK MARKETS

Cristi Spulbar (cristi_spulbar@yahoo.com), Ramona Birau, Iqbal Thonse Hawaldar, Jatin Trivedi and Anca Ioana Iacob (troto)
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Ramona Birau: FACULTY OF ECONOMIC SCIENCE, UNIVERSITY CONSTANTIN BRANCUSI, TG-JIU, ROMANIA
Iqbal Thonse Hawaldar: DEPARTMENT OF ACCOUNTING &FINANCE, COLLEGE OF BUSINESS ADMINISTRATION, KINGDOM UNIVERSITY, SANAD, BAHRAIN
Jatin Trivedi: NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA
Anca Ioana Iacob (troto): UNIVERSITY OF CRAIOVA, DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA

Annals - Economy Series, 2023, vol. 1, 134-146

Abstract: The recent global pandemic impacted stock markets worldwide, including developed and emerging markets. This paper investigates changes in volatility from a sample of daily returns ofFTSE100, DAX and CAC for the UK, Germany, and France, respectively. We test the fitness of GARCH (1, 1) to model the volatility, measure the interrelationship between selected samples, and abstract the changes in volatility before and during the pandemic period. Used and analysed daily closing returns from 2000-01-01 to 2022-31-01 with Generalised Autoregressive Conditional Heteroskedasticity (GARCH 1, 1) and Value-at-Risk (VaR) with Normal and Mills approach. Data has been divided into three phasesbefore, during, and after the Covid 19 pandemic. The finding confirms persistent volatility for selected samples, the strong interrelationship among the German stock market and UK stock market than in France and German markets, dynamic changes in volatility patterns before, during and after the pandemic. The study results confirm the increase in normal volatility patterns after the pandemic. Further, finding exhibits the dynamics of volatility and response during the different four-phases, changing the degree of risk and prospective returns.

Keywords: GARCH; European stock market; asymmetric volatility; COVID-19 pandemic; risk; stock returns (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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