Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines 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,...

The COVID-19 pandemic has led to significant financial losses globally, increasing the volatility of financial assets. To address this issue, this study models the stock market returns volatility of developed economies during the pandemic using the GJR-GARCH (1, 1) family. The dataset includes...

The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. To this end, this study employs a DCC-GARCH model to analyze the conditional correlations between daily returns of S&P 500 and MSCI Emerging Markets Index with gold and the major...