Predictability of the realised volatility of international stock markets amid uncertainty related to infectious diseases

Artikel

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 1 ; Pages: 1-18 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: uncertainty ; infectious diseases ; COVID-19 ; international stock markets ; realised volatility ; forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Shiba, Sisa ; Cuñado Eizaguirre, Juncal ; Gupta, Rangan
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2022

Further information

• DOI: doi:10.3390/jrfm15010018
• Handle: http://hdl.handle.net/10419/258742
• Last update: 10.03.2025, 11:43 AM CET