Castillo Brenda, León Ángel, Ñíguez Trino-Manuel
Dept. Fundamentos del Análisis Económico (FAE), Universidad de Alicante, Alicante 03690, Spain.
School of Organisations, Economy and Society, Westminster Business School, University of Westminster, 35 Marylebone Road, London NW1 5LS, UK.
Financ Res Lett. 2021 Nov;43:102024. doi: 10.1016/j.frl.2021.102024. Epub 2021 Mar 18.
We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen's Skewed-t distribution with EGARCH extended to control for sudden changes in volatility. We oversee the COVID-19 effect on measures of downside risk such as the Value-at-Risk. Our results show that there is a significant sudden shift up in the return distribution variance post the announcement of the pandemic, which must be explained properly to obtain reliable measures for financial risk management.
我们分析了新冠疫情对股票回报条件方差的影响。我们从全球视角审视这一影响，因此使用了一系列主要股票市场和行业指数。我们采用扩展的带EGARCH的汉森偏态t分布来控制波动率的突然变化。我们考察了新冠疫情对诸如风险价值等下行风险指标的影响。我们的结果表明，在疫情宣布后，回报分布方差出现了显著的突然上升，必须对此进行恰当解释，以获得可靠的金融风险管理指标。
