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Assessing volatility drivers during the Covid-19 pandemic: a sectoral approach using the GARCH model
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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.
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Covid-19 Volatility Us stock market Gics Garch model