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Assessing Volatility Patterns using GARCH Family Models: A Comparative Analysis Between the Developed Stock Markets in Italy and Poland

Author

Listed:
  • Cristi SPULBAR

    (University of Craiova, Craiova, Romania)

  • Ramona BIRAU

    (University Constantin Brancusi of Targu-Jiu, Romania)

  • Jatin TRIVEDI

    (National Institute of Securities Markets, India)

  • Mircea Laurentiu SIMION

    (University of Craiova, Craiova, Romania)

  • Rachana BAID

    (National Institute of Securities Markets, India)

Abstract

The main aim of this research paper is to conduct a comparative empirical study on the behavior of the stock markets in Italy and Poland. In this sense, it is examined the presence of volatility patterns using GARCH family models for the sample period from December 2008 to December 2022. The selected period covers a long-time interval, so that the effects of certain extreme events can be implicitly evaluated. Moreover, the selected stock markets are both included in the category of developed markets. Considering that Italy and Poland are both member states of the European Union it is relevant to also analyze the impact of events such as BREXIT or the conflict between Russia and Ukraine.

Suggested Citation

  • Cristi SPULBAR & Ramona BIRAU & Jatin TRIVEDI & Mircea Laurentiu SIMION & Rachana BAID, 2023. "Assessing Volatility Patterns using GARCH Family Models: A Comparative Analysis Between the Developed Stock Markets in Italy and Poland," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 5-11.
    • Handle: RePEc:ddj:fseeai:y:2023:i:1:p:5-11
    DOI: 10.35219/eai15840409314
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    References listed on IDEAS

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    3. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    6. Elżbieta Kacperska & Jakub Kraciuk, 2021. "Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany," Energies, MDPI, vol. 14(23), pages 1-17, November.
    7. Viorica Chirilă, 2022. "Connectedness between Sectors: The Case of the Polish Stock Market before and during COVID-19," JRFM, MDPI, vol. 15(8), pages 1-19, July.
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    Cited by:

    1. Santosh KUMAR & Bharat Kumar MEHER & Ramona BIRAU & Abhishek ANAND & Mircea Laurentiu SIMION, 2023. "Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 39-45.

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