The Effect of the Pandemic and the War in Ukraine on the Riskiness of Financial Investments in Three Central European Countries

Quang Van Tran and Jiri Malek

Eastern European Economics, 2024, vol. 62, issue 4, 409-428

Abstract: The COVID pandemic and the war in Ukraine are extraordinary events causing excessive turbulence in financial markets. Considering the leptokurtic and heteroscedastic properties of returns on financial assets, we examine the suitability of several alternatives for modeling returns to choose the most suitable option to compute the VaR and CVaR for returns of three stock market indices as well as euro exchange rates in Czechia, Poland, and Hungary. Using an appropriate test, we evaluate how the two metrics of VaR and CVaR changed during the pandemic and the war in Ukraine up to June 2022.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:mes:eaeuec:v:62:y:2024:i:4:p:409-428

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DOI: 10.1080/00128775.2023.2278809

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