Scandinavian Working Papers in Economics

Working Papers,
Örebro University, School of Business

No 2020:2: Corona, Crisis and Conditional Heteroscedasticity

Tamás Kiss () and Pär Österholm ()
Additional contact information
Tamás Kiss: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden
Pär Österholm: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden

Abstract: In this paper, we illustrate the macroeconomic risk associated with the early stage of the corona-virus outbreak. Using monthly data ranging from July 1991 to March 2020 on a recently developed coincidence indicator of global output growth, we estimate an autoregressive model with GARCH effects and non-Gaussian disturbances. Our results indicate that i) accounting for conditional heteroscedasticity is important and ii) risk, measured as the volatility of the shocks to the process, is at a very high level – largely on par with that experienced around the financial crisis of 2008-2009.

Keywords: GARCH; Non-Gaussianity

JEL-codes: C22; E32; E37

9 pages, March 23, 2020

Full text files 

wp-2-2020.pdf PDF-file Full text

Download statistics

Questions (including download problems) about the papers in this series should be directed to ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:oruesi:2020_002This page generated on 2024-09-13 22:16:32.