Major Sudden Risk Shocks and US Stock Market Volatility Evidence from COVID-19
Authors
Kepeng Liu1, *
1Reading Academy, Nanjing University of Information Science and Technology, Nanjing, 210044, China
*Corresponding author. guanghua.ren@gecacademy.cn
Corresponding Author
Kepeng Liu
Available Online 26 March 2022.
- DOI
- 10.2991/aebmr.k.220307.179How to use a DOI?
- Keywords
- US stock market; COVID-19; ARMA; ARMA-GARCH
- Abstract
The occurrence of major emergencies will impact the stock market, and the short-term fluctuation and rebound of stock prices can be estimated through relevant data to predict the impact of emergencies on the stock market. By employing a GARCH (1,1) model, the empirical analysis of the impact of Corona Virus Disease 2019 (COVID-19) on the US stock market was conducted by examining the maximum price, closing price in the stock market, and the number of newly confirmed cases. It was shown that the COVID-19 epidemic did not cause fluctuations in the US stock market in the long term. However, from the estimation results of the highest price, the new diagnosis reduces the volatility of the return series of the highest price of the stock market.
- Copyright
- © 2022 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Kepeng Liu PY - 2022 DA - 2022/03/26 TI - Major Sudden Risk Shocks and US Stock Market Volatility Evidence from COVID-19 BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 1086 EP - 1092 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.179 DO - 10.2991/aebmr.k.220307.179 ID - Liu2022 ER -