Impact of COVID-19 Crisis on Volatility Spillovers across Global Financial Markets: Evidence from As...
Impact of COVID-19 Crisis on Volatility Spillovers across Global Financial Markets: Evidence from Asymmetric GARCH Models
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Publisher
Seoul: Center for Economic Integration, Sejong University
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Language
English
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Publisher
Seoul: Center for Economic Integration, Sejong University
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Contents
This study investigates the market volatility and asymmetric behavior in the commodity market, foreign exchange market, cryptocurrency, and stock markets by employing asymmetric GARCH models on the daily time series returns. The data covers the period from March 8, 2017, to March 17, 2023, and is divided in to three sub-periods: the entire sample p...
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Full title
Impact of COVID-19 Crisis on Volatility Spillovers across Global Financial Markets: Evidence from Asymmetric GARCH Models
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TN_cdi_nrf_kci_oai_kci_go_kr_ARTI_10503737
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_nrf_kci_oai_kci_go_kr_ARTI_10503737
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ISSN
1225-651X
E-ISSN
1976-5525
DOI
10.11130/jei.2024005
