Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315371 
Title (translated): 
Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales
Year of Publication: 
2023
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 35 [Year:] 2023 [Pages:] 175-200
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of thirteen markets from January/1st to June/25th 2020 are employed. Once volatility is modeled, the incidence of Chinese and American markets on the rest of the bourses is tested employing Vector Autoregressive Markov Switching Models. Evidence confirms incidence of the Chinese and American capital markets volatility in other markets volatility; common breakpoints and Intermarket incidence in high volatility periods stand out.
Subjects: 
volatility contagion
Markov Switching Model
Garch Approach
Stock Markets
Covid 19
JEL: 
G01
G15
F36
C57
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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