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Testing Volatility Changes Using Garch Models In The Case Of Netherlands Stock Market

Author

Listed:
  • JATIN TRIVEDI

    (NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA)

  • CRISTI SPULBAR

    (FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION, UNIVERSITY OF CRAIOVA, ROMANIA)

  • RACHANA BAID

    (NATIONAL INSTITUTE OF SECURITIES MARKETS, INDIA)

  • RAMONA BIRAU

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

  • ANCA IOANA IACOB (TROTO)

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

Abstract

This study examines changes in volatility clusters and volatility patterns using GARCH class models in the Netherlands stock market in the context of the COVID-19 pandemic and global financial crisis (GFC) pandemic. The movement pattern of the AEX stock market index during the sample period from January 3, 2000 to December 2, 2022 a daily closing adjusted prices considered for the empirical investigation. The global financial crisis and the COVID-19 pandemic's effects are both included in the sample period. GARCH (1,1), GJR (1,1), and EGARCH (1,1) models are part of the econometric framework. By adding further empirical data on the long-term behavior of the Netherlands stock market, this empirical study adds to the body of current literature. We find changes in volatility after the COVID – 19 pandemic period, sharp rise in the index levels and presence of leverage effect in returns.

Suggested Citation

  • Jatin Trivedi & Cristi Spulbar & Rachana Baid & Ramona Birau & Anca Ioana Iacob (Troto), 2023. "Testing Volatility Changes Using Garch Models In The Case Of Netherlands Stock Market," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 6-15, February.
    • Handle: RePEc:cbu:jrnlec:y:2023:v:1:p:6-15
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