COVID-19 and Volatility Dynamics in Bombay Stock Exchange Returns: A GARCH Model Approach
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Abstract
Global stock markets have experienced heightened volatility in the wake of the COVID-19 pandemic, posing challenges for investors and financial analysts. This study examines the volatility patterns in the Bombay Stock Exchange (BSE) from January 2019 to December 2022 using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. By analyzing return distributions, asymmetric shock responses, and volatility clustering, we provide insights into the impact of the pandemic on market stability. The findings highlight the persistence of volatility and the presence of leverage effects, which have critical implications for policymakers seeking to mitigate financial instability and preempt future market disruptions
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References
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