Pereira, Luís BritesAdams, Frederike2022-06-232022-06-232022-01-132021-12-17http://hdl.handle.net/10362/140588The 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.engCovid-19VolatilityUs stock marketGicsGarch modelmaster thesis202972828