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Measuring Asymmetric Volatility Of Uk, France, And German Stock Markets

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  • CRISTI SPULBAR

    (DEPARTMENT OF FINANCE, BANKING AND ECONOMIC ANALYSIS, FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION, UNIVERSITY OF CRAIOVA, CRAIOVA, ROMANIA)

  • RAMONA BIRAU

    (FACULTY OF ECONOMIC SCIENCE, UNIVERSITY CONSTANTIN BRANCUSI, TG-JIU, ROMANIA)

  • IQBAL THONSE HAWALDAR

    (DEPARTMENT OF ACCOUNTING &FINANCE, COLLEGE OF BUSINESS ADMINISTRATION, KINGDOM UNIVERSITY, SANAD, BAHRAIN)

  • JATIN TRIVEDI

    (NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA)

  • ANCA IOANA IACOB (TROTO)

    (UNIVERSITY OF CRAIOVA, DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA)

Abstract

The recent global pandemic impacted stock markets worldwide, including developed and emerging markets. This paper investigates changes in volatility from a sample of daily returns ofFTSE100, DAX and CAC for the UK, Germany, and France, respectively. We test the fitness of GARCH (1, 1) to model the volatility, measure the interrelationship between selected samples, and abstract the changes in volatility before and during the pandemic period. Used and analysed daily closing returns from 2000-01-01 to 2022-31-01 with Generalised Autoregressive Conditional Heteroskedasticity (GARCH 1, 1) and Value-at-Risk (VaR) with Normal and Mills approach. Data has been divided into three phasesbefore, during, and after the Covid 19 pandemic. The finding confirms persistent volatility for selected samples, the strong interrelationship among the German stock market and UK stock market than in France and German markets, dynamic changes in volatility patterns before, during and after the pandemic. The study results confirm the increase in normal volatility patterns after the pandemic. Further, finding exhibits the dynamics of volatility and response during the different four-phases, changing the degree of risk and prospective returns.

Suggested Citation

  • Cristi Spulbar & Ramona Birau & Iqbal Thonse Hawaldar & Jatin Trivedi & Anca Ioana Iacob (Troto), 2023. "Measuring Asymmetric Volatility Of Uk, France, And German Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 134-146, February.
    • Handle: RePEc:cbu:jrnlec:y:2023:v:1:p:134-146
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    References listed on IDEAS

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