Assessing Volatility of Returns in Select Stock Markets: Evidence from India, Singapore and USA

Abstract

Volatility can be regarded as one of the crucial aspects to judge movements of stock price while making financial decisions. This article tried to articulate the movements of stock return during the time comprising before, after COVID-19 pandemic period empirically. To accurately incarcerate the volatility of asset returns, the study presented the commonly used GARCH (1,1) volatility model for assessing the volatility of daily returns of STI (Singapore), Dows and Jones (USA), BSE Sensex (India) stock prices from 1st Jan 2018- 31st Dec 2022, where from 1st Jan 2018 to 16th Jan 2020 is denoted as pre covid-19 phase and From 17th Jan 2020- 31st Dec 2022 is considered as during COVID- 19 phase. The findings suggest that all the markets under study had strong GARCH effect and the volatility clustering is relatively relentless and also the effect of older news upon volatility is quite persistent. In upcoming period, researchers can assess the performance of time series models  with multiple variables using day by day return data of more such global markets.