With this study, we aim to determine the effect of the Covid-19 pandemic on the return volatility of the DJI, the DAX, the FTSE100 and the CAC40 stock indexes. We take return volatility between 1st January 2019 and 17th July 2020 and split it into two separate periods - before the Covid-19 pandemic outbreak and the first wave of the ‘In-Pandemic’ period. Only the so-called first wave of the pandemic was chosen to avoid the influence of knowledge of possible vaccines and antiviral solutions. Data were analysed by using the exponential GARCH (EGARCH) model. Findings show excessive volatility in the major stock markets with short volatility persistence and the presence of leverage in returns during the first wave of the Covid-19 pandemic outbreak. Moreover, during the pandemic period, positive shocks have been observed to have a greater effect than negative socks on the stock index return volatility.

中文翻译：

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通过应用 EGARCH 模型确定 COVID-19 大流行之前和期间主要股票市场的回报波动率

通过这项研究，我们旨在确定 Covid-19 大流行对 DJI、DAX、FTSE100 和 CAC40 股票指数回报波动的影响。我们将 2019 年 1 月 1 日至 2020 年 7 月 17 日之间的回报波动率划分为两个不同的时期——在 Covid-19 大流行爆发之前和第一波“大流行”时期。只选择了所谓的第一波大流行，以避免可能的疫苗和抗病毒解决方案知识的影响。使用指数 GARCH (EGARCH) 模型分析数据。调查结果显示，在 Covid-19 大流行爆发的第一波期间，主要股票市场波动性过大，波动性持续时间短，并且回报中存在杠杆作用。此外，在疫情期间，