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Structural breaks in the variance of the european market during the Covid-19 pandemic: a sectoral approach
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This project aims to test for the presence of structural breaks in the volatility of the
European markets during the covid-19 pandemic. A dataset composed by 19 sectoral
indexes, and the methodology proposed by Kokoszka and Leipus are used. The
results show that all the analyzed sectors besides two are going through multiple
breaks. The breaks are more frequent during the beginning of the pandemic, and also
the volatility is significantly higher during this period.
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Covid Volatility Structural breaks Stoxx europe 600