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Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets

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  • Dharen Kumar Pandey
  • Vineeta Kumari

Abstract

We analyse 17 stock market indices in the Asia-Pacific region to examine the impacts of the COVID-19 on the Asia-Pacific stock markets by interpreting the generalised autoregressive conditional heteroskedasticity (GARCH) coefficients. While evidencing the absence of ARCH and GARCH effects during the pre-COVID period, we also evidence volatility clustering and persistence during the COVID period. It is evidenced that negative impacts result in higher volatility than positive impacts. The presence of time-varying volatility in the Asia-Pacific region has not been previously studied. The available literature has focused either on a single market or on the developed markets. Hence, the findings of this study are expected to contribute significantly to the finance literature.

Suggested Citation

  • Dharen Kumar Pandey & Vineeta Kumari, 2022. "Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 11(3), pages 232-244.
    • Handle: RePEc:ids:ijfsmg:v:11:y:2022:i:3:p:232-244
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