From stability to uncertainty

: a GARCH approach to understand volatility during COVID-19

Abstract

The COVID-19 pandemic unleashed an unprecedented economic upheaval, challenging financial markets globally. This study delves into the intricacies of market volatility and its repercussions on a diverse portfolio of 18 financial assets across three distinct phases: pre-crisis, crisis duration, and the entire pandemic period. Analyzing daily closing prices from November 12, 2018, to June 15, 2021, we employ a suite of GARCH models to unveil profound insights. Prior to the crisis, the GARCH (1, 1) model emerged as the optimal choice for modeling Gold and Silver. In contrast, Crude Oil and S&P 500 found resonance with the GJR-GARCH (1, 1) model, while BTC and EUR leaned toward the EGARCH (1, 1) model. Throughout the crisis, all financial markets exhibited sustained high volatility. BTC and EUR stood out, displaying extraordinary persistence, likely a consequence of the crisis's unique dynamics. Remarkably, Gold remained notably stable, exhibiting neither significant volatility nor conspicuous asymmetric patterns. In essence, this research harnesses GARCH models to navigate the shift from market stability to uncertainty during a momentous crisis, offering invaluable insights into its impact on global financial markets.

Date of Award	2 Feb 2026
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Eva Schliephake (Supervisor)