Assessing Volatility Patterns using GARCH Family Models: A Comparative Analysis Between the Developed Stock Markets in Italy and Poland

Cristi Spulbar (), Ramona Birau, Jatin Trivedi, Mircea Laurentiu Simion and Rachana Baid
Additional contact information
Ramona Birau: University Constantin Brancusi of Targu-Jiu, Romania
Jatin Trivedi: National Institute of Securities Markets, India
Mircea Laurentiu Simion: University of Craiova, Craiova, Romania
Rachana Baid: National Institute of Securities Markets, India

Economics and Applied Informatics, 2023, issue 1, 5-11

Abstract: The main aim of this research paper is to conduct a comparative empirical study on the behavior of the stock markets in Italy and Poland. In this sense, it is examined the presence of volatility patterns using GARCH family models for the sample period from December 2008 to December 2022. The selected period covers a long-time interval, so that the effects of certain extreme events can be implicitly evaluated. Moreover, the selected stock markets are both included in the category of developed markets. Considering that Italy and Poland are both member states of the European Union it is relevant to also analyze the impact of events such as BREXIT or the conflict between Russia and Ukraine.

Keywords: volatility patterns; GARCH family models; European developed stock market; COVID-19 pandemic; extreme events (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://eia.feaa.ugal.ro/images/eia/2023_1/SpulbarBirauTrivediSimionBaid.pdf (application/pdf)

Related works:
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:ddj:fseeai:y:2023:i:1:p:5-11

DOI: 10.35219/eai15840409314

Access Statistics for this article

More articles in Economics and Applied Informatics from "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Gianina Mihai ().