Rashmi Chaudhary - Academia.edu (original) (raw)
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Papers by Rashmi Chaudhary
Journal of Risk and Financial Management, 2020
Predicting volatility is a must in the finance domain. Estimations of volatility, along with the ... more Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 countries based on GDP using a widely applied econometric model—generalized autoregressive conditional heteroscedasticity (GARCH). For this purpose, the daily returns of market indices from January 2019 to June 2020 were taken into consideration. The results reveal daily negative mean returns for all market indices during the COVID period (January 2020 to June 2020). Though the second quarter of the COVID period reflects a bounce back for all market indices with altered strengths, the volatility remains hig...
Journal of Risk and Financial Management, 2020
Predicting volatility is a must in the finance domain. Estimations of volatility, along with the ... more Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient portfolios with a higher risk to reward ratio. The objective of this research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 countries based on GDP using a widely applied econometric model—generalized autoregressive conditional heteroscedasticity (GARCH). For this purpose, the daily returns of market indices from January 2019 to June 2020 were taken into consideration. The results reveal daily negative mean returns for all market indices during the COVID period (January 2020 to June 2020). Though the second quarter of the COVID period reflects a bounce back for all market indices with altered strengths, the volatility remains hig...