{Reference Type}: Journal Article
{Title}: Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model.
{Author}: Prempeh KB;Frimpong JM;Amaning N;
{Journal}: SN Bus Econ
{Volume}: 3
{Issue}: 1
{Year}: 2023
暂无{DOI}: 10.1007/s43546-022-00401-4
{Abstract}: In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods-the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE's returns than negative news of comparable magnitude.