Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20
the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID …-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence …