Empirical studies have shown that a large number of financial asset returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCH-type models (TGARCH, EGARCH, APGARCH) to capture the stylized...

Indices are a crucial part of the global investment business. The main objective of the study is to determine the impact of COVID-19 on stock indices to analysefinancial markets' response. The study applied a log-log simple regression model to analysethe effects of COVID-19 on stock indices by...

The purpose of this paper is to measure the risks posed by the COVID-19 outbreak on financial market indicators, which caused uncertainty and fear all over the world. In the paper, the Fourier KPSS unit root test, which helps to measure structural breaks more precisely by means of the Fourier...