The Response of Market Volatility to the Covid-19 Pandemic

Minović, Jelena (2021) The Response of Market Volatility to the Covid-19 Pandemic. In: SOR '21 proceedings : the 16th International Symposium on Operational Research in Slovenia : September 22 - 24, 2021. Slovenian Society Informatika, Section for Operational Research, Ljubljana, pp. 282-287. ISBN 978-961-6165-57-0

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Abstract

The paper investigates market volatility on the example of Sarajevo Stock Exchange at the time of coronavirus disease 2019 (COVID-19) outbreak. Sarajevo10 index was chosen and analysed as a representative of this stock market for the period 1 April 2019 - 10 March 2021. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model was used to analyse the abovementioned index. The results showed that, for the observed period, the return of the chosen index satisfied АRMA(0,0)-GARCH(1,1) process. A significant rise in the volatility of the Sarajevo10 index return was noticed at the beginning of COVID-19 outbreak. Furthermore, the results show a significant volatility of this index return both prior to COVID-19 pandemic outbreak and during the pandemic.

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