TESTING VOLATILITY CHANGES USING GARCH MODELS IN THE CASE OF NETHERLANDS STOCK MARKET

Jatin Trivedi, Cristi Spulbar (), Rachana Baid, Ramona Birau and Anca Ioana Iacob (troto)
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Jatin Trivedi: NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA
Rachana Baid: NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA
Ramona Birau: FACULTY OF ECONOMIC SCIENCE, UNIVERSITY CONSTANTIN BRANCUSI, TG-JIU, ROMANIA
Anca Ioana Iacob (troto): UNIVERSITY OF CRAIOVA, DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA

Annals - Economy Series, 2023, vol. 1, 6-15

Abstract: 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.

Keywords: COVID – 19 pandemic; global financial crisis; GARCH class models; international portfolio diversification; transmission patterns; stock market; financial asset prices; returns (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2023:v:1:p:6-15

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