Investigating the impact of the number of daily cases of the Coronavirus pandemic on the stock market indices of developed countries with the approaches of ARIMA and ARCH models

سال انتشار: 1402
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 122

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شناسه ملی سند علمی:

SPCONF08_338

تاریخ نمایه سازی: 7 آبان 1402

چکیده مقاله:

The scientific community still struggles to understand the magnitude of the worldwide infections and deathsinduced by COVID-۱۹, While policymakers have been able to eliminate its consequences by adopting andapplying correct policies. In this paper, using the autoregressive integrated moving average (ARIMA) andautoregressive conditional heteroskedasticity (ARCH) methods, we quantify and show the impact of the COVID-۱۹ spread in five countries, Japan, Australia, France, Britain, and the United States. Utilizing information criteriaand forecasting accuracy measures, we show that the COVID-۱۹ confirmed cases are statistically significant andcontribute to the modeling of volatility.

نویسندگان

Mahdi Karimkhani

Department of financial engineering, faculty of industrial engineering, K.n.toosiuniversity of technology, Tehran, Iran

Hossein Mohseni

Department of financial engineering, faculty of industrial engineering, K.n.toosiuniversity of technology, Tehran, Iran

Amin Izadyar

Graduate school of management and economics, Sharif University of Technology, Tehran, Iran

Nazanin Alibaygi beni

Department of financial engineering, faculty of industrial engineering, Iranuniversity of science and technology, Tehran, Iran