The persistence of financial volatility after COVID-19

J. Eduardo Vera-Valdés

Finance Research Letters, 2022, vol. 44, issue C

Abstract: This paper analyzes the long-term effects of COVID-19 on financial volatility. We estimate the long memory parameters before and after COVID-19 for the VIX and realized variances for several international markets. Our results show that volatility measures for most countries experienced increases in the degrees of memory following the pandemic. Moreover, several volatility measures became nonstationary, signaling the start of a period with higher and more persistent financial volatility. We show that these changes in the degrees of memory are statistically significant using a test for change in persistence.

Keywords: COVID-19; Pandemic; Volatility; VIX; Realized variance; Persistence change (search for similar items in EconPapers)
JEL-codes: C22 G01 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001379

DOI: 10.1016/j.frl.2021.102056

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