Publicação
Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Pereira, Luís Brites | |
| dc.contributor.author | Adams, Frederike | |
| dc.date.accessioned | 2022-06-23T14:59:39Z | |
| dc.date.available | 2022-06-23T14:59:39Z | |
| dc.date.issued | 2022-01-13 | |
| dc.date.submitted | 2021-12-17 | |
| dc.description.abstract | The joint work of Adams and Hass denteufel (2021) concludes that the GARCH model is appropriate to capture stock market volatility during the Covid-19 pandemic. Here, we analyse characteristics of the 11 GICS sectors and identify their volatility drivers. We include new Covid-19cases and various independent variables as variance regressors. The Covid-19 effect on stock volatility remains positive and mostly significant for pairwise combinations of independent variables but loses significance when IRis introduced. Including more than two variance regressors, the Covid-19 effect is no longer significant for any sector while IR, CPI and EPU still hold explanatory power. | pt_PT |
| dc.identifier.tid | 202972828 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/140588 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Covid-19 | pt_PT |
| dc.subject | Volatility | pt_PT |
| dc.subject | Us stock market | pt_PT |
| dc.subject | Gics | pt_PT |
| dc.subject | Garch model | pt_PT |
| dc.title | Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
Ficheiros
Principais
1 - 1 de 1