Corona, Crisis and Conditional Heteroscedasticity

Tamas Kiss and Pär Österholm

No 2020:2, Working Papers from Örebro University, School of Business

Abstract: In this paper, we illustrate the macroeconomic risk associated with the early stage of the corona-virus outbreak. Using monthly data ranging from July 1991 to March 2020 on a recently developed coincidence indicator of global output growth, we estimate an autoregressive model with GARCH effects and non-Gaussian disturbances. Our results indicate that i) accounting for conditional heteroscedasticity is important and ii) risk, measured as the volatility of the shocks to the process, is at a very high level – largely on par with that experienced around the financial crisis of 2008-2009.

Keywords: GARCH; Non-Gaussianity (search for similar items in EconPapers)
JEL-codes: C22 E32 E37 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2020-03-23
New Economics Papers: this item is included in nep-ets, nep-mac and nep-rmg
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Journal Article: Corona, crisis and conditional heteroscedasticity (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2020_002

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