Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient...

This paper develops a threshold-augmented dynamic multi-country model (TG-VAR) to quantify the macroeconomic effects of Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant...