Exploring Volatility clustering financial markets and its implication

Samuel Tabot Enow ()
Additional contact information
Samuel Tabot Enow: Research associate, IIE Varsity College, Durban

Journal of Economic and Social Development, 2023, vol. 10, issue 02, 01-05

Abstract: Volatility clustering is a prominent feature of financial markets exhibiting persistent fluctuations in volatility over time. Its characteristics such as long memory, asymmetry and varying cluster durations pose challenges for market participants although it may also present some opportunities. The aim of this study was to investigate the historical patterns and statistical properties of volatility clustering across different financial markets. This study used a GARCH and ARCH model for four stock markets from June 14, 2018 to June 14, 2023. The findings revealed the presence of volatility clustering in line with prior study. These clustering which may be due to the recent episodes in financial markets such as the covid-19 poses significant risk for traders and active market participants. Hence, regulatory authorities need to implement measures to enhance market resilience, sufficient liquidity and regulate high-frequency trading activities to mitigate systemic risk.

Keywords: Volatility Clustering; GARCH Model; ARCH Model; Financial Markets (search for similar items in EconPapers)
JEL-codes: A11 (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)
https://www.jesd-online.com/articles/exploring-vol ... -its-implication.pdf Full text (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:ris:joeasd:0033

Access Statistics for this article

More articles in Journal of Economic and Social Development from Clinical Journals Press
Bibliographic data for series maintained by Marijan Cingula ().