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,...

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential GARCH (EGARCH) model with an integrated...

Purpose: Modelling security prices seem to be an ending debate in finance literature due to no clear consensus on behavioral patterns, Knowledge of stock price movement has always been an important source of information that is much needed in asset pricing and trading strategies, The aim of this...

The results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the...

The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric models cannot fully explain this vol- atility,...

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The proposal is based on dynamic linear models with Markov switching written as state space models. Then, the likelihood is calculated through Kalman filter outputs and the estimates...