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The aim of this article is to choose the appropriate GARCH model to analyse the volatility dynamics of the Tunisian sectorial stock market indices during the COVID‐19 outbreak period. We explore the optimal conditional heteroscedasticity model with regards to goodness‐of‐fit to these sectorial indices. In particular, it proposes four models (EGARCH, FIGARCH, FIEGARCH and TGARCH) to measure asymmetric and persistence volatility. Our findings point to three interesting results. First, following the COVID‐19 outbreak, volatility is more persistent in all series. Second, the results show that building constructs materials, construction and food and beverage sector return volatilities have an insignificant asymmetric effect while consumer service, financials and distribution, industrials, basic materials and banks sector return volatilities have relatively high positive and significant asymmetric effect compared with those during the pre‐COVID‐19 period. Finally, the findings show that financial services, automobile and parts, insurance and TUNINDEX20 sectors have insignificant leverage effect. Our results can thus be useful to investors when accounting for future volatility and implementing hedging strategies under COVID‐19 crisis.

Purpose – Previously elaborated research works, dealing with the political uncertainty effect on stock market, have been primarily concerned with such political events as terrorist attacks, elections, wars, natural catastrophes and financial crashes. Such little research has been concerned with civil uprisings and revolutionary movements, as crucial sources of political uncertainty. The purpose of this paper is to study the impact of political uncertainty (resulting from the Tunisian Revolution) on the volatility of major sectorial stock indices in the Tunisian Stock Exchange (TSE). Design/methodology/approach – The authors apply the fractionally integrated exponential generalized autoregressive conditional heteroscedasticity model (FIEGARCH), which helps maintain a direct shock-persistence as well as a shock asymmetric volatility measurement. This model is applied to the daily returns relevant to nine sectorial stock indices and to the Tunisian benchmark index (TUNINDEX) with respect to three sub-periods (before, during and follows the Tunisian Revolution). Findings – The reached findings suggest that the shock impact throughout the Revolution period on construction, industries, consumer services, financial services, financial companies indices’ sectorial and the TUNINDEX return volatilities have proven to be permanent, while its persistence on the other indices has been discovered to be transitory. In addition, the achieved results appear to reveal a low leverage effect on all indices. This result seems to be very important since the Tunisian Revolution turns out to have a very important effect on the TSE. Originality/value – The paper’s empirical contribution lies in using the FIEGARCH approach to model the Tunisian sectorial indices’ volatility dynamics, persistence degree and leverage effect. This contribution goes a long way in helping regulators and international investors to further recognize the extent to which political instability does participate in affecting the TSE.