The Persistence of Financial Volatility After COVID-19
Published in Finance Research Letters, 2022
Recommended citation: Vera-Valdés, J.E. (2022). "The Persistence of Financial Volatility After COVID-19." Finance Research Letters. 44(102056). https://www.sciencedirect.com/science/article/pii/S1544612321001379
This paper analyzes the long memory properties before and after COVID-19 for the VIX and realized variances for several international markets. Our results show that volatility measures for most countries experienced increases in the degrees of memory following the pandemic. Moreover, several volatility measures became nonstationary, signaling the start of a period with higher and more persistent financial volatility.