(Bucharest University of Economic Studies , 2022) Anghel, Lucian Claudiu; Zwak Cantoriu, Maria Cristina; Mendon, Suhan; Attila, Gyorgy; Ermiș, Simona Ioana; Trivedi, Jatin
Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH–GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect.
