Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market
Cristi Spulbar (),
Ramona Birau () and
Jatin Trivedi ()
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Cristi Spulbar: University of Craiova
Ramona Birau: University of Craiova
Jatin Trivedi: National Institute of Securities Markets
Ovidius University Annals, Economic Sciences Series, 2021, vol. XXI, issue 2, 1166-1171
The main aim of this empirical study is to examine short and long run volatility movements based on a case study for Norwegian Stock Market, i.e. Oslo Stock Exchange. The econometric framework includes a series of statistical tests, ARIMA models and GARCH family models for the sample period from March 2013 to October 2021. The empirical results were influenced by the impact of COVID19 pandemic. This research paper also contributes to the existing literature regarding the influence of extreme events, such as COVID-19 pandemic on the behavior of developed stock markets, like Norwegian Stock Market.
Keywords: ARIMA models; leverage effect; GARCH models; volatility; COVID-19 pandemic; stock market behavior (search for similar items in EconPapers)
JEL-codes: D53 E44 G1 G4 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xxi:y:2021:i:2:p:1166-1171
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