The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility

The impact of COVID-19 on global stock markets: early linear and non-linear evidence for Italy

“…Our modelling choice regarding the use of an ARFIMA GARCH model lies in previous attempts made in the literature of volatility modeling of stock markets. See, among others, Bekaert and Harvey ( 1997 ), Scheicher ( 2001 ) Syriopoulos ( 2007 ), Abdalla 2012 , Daglis et al ( 2020 ). Based on our findings, we witness a negative impact of COVID-19 on the Italian stock index, and an increase in its volatility, whereas both effects are statistically significant.…”