Table 2.
Statistics for returns and volatility for epidemic and pandemic times. The Coronavirus (COVID-19) has been classified as an epidemic from its emergence to March 10, 2020. Post-March 10, 2020 it has been classified as Pandemic by as per the World Health Organization.
| Daily return |
EGARCH volatility |
||||||||
|---|---|---|---|---|---|---|---|---|---|
| Mean | Standard dev | Min | Max | Mean | Standard dev | Min | Max | ||
| EPIDEMIC | WRLD | −0.28% | 1.66% | −7.44% | 3.27% | 0.04% | 0.07% | 0.00% | 0.29% |
| EUR | −0.41% | 1.49% | −6.92% | 1.64% | 0.49% | 2.30% | 0.00% | 15.51% | |
| USA | −0.23% | 2.04% | −7.99% | 4.77% | 0.06% | 0.11% | 0.00% | 0.57% | |
| ASIA | −0.23% | 1.07% | −4.17% | 1.90% | 0.01% | 0.02% | 0.00% | 0.06% | |
| ITL | −0.53% | 2.09% | −11.01% | 2.41% | 0.48% | 2.10% | 0.01% | 13.21% | |
| SPN | −0.47% | 1.70% | −7.88% | 1.76% | 0.29% | 1.33% | 0.01% | 8.87% | |
| CHN | −0.08% | 1.47% | −4.44% | 2.81% | 0.04% | 0.04% | 0.00% | 0.18% | |
| GER | −0.44% | 1.53% | −7.15% | 1.49% | 0.04% | 0.06% | 0.00% | 0.19% | |
| FRA | −0.46% | 1.57% | −7.52% | 1.69% | 0.03% | 0.04% | 0.00% | 0.16% | |
| KOR | −0.25% | 2.02% | −5.61% | 3.83% | 0.05% | 0.04% | 0.01% | 0.15% | |
| SWZ | −0.20% | 1.29% | −4.58% | 2.08% | 0.53% | 3.43% | 0.01% | 24.03% | |
| UK | −0.52% | 1.58% | −7.60% | 1.57% | 0.04% | 0.05% | 0.00% | 0.21% | |
| BC | 0.22% | 3.84% | −15.07% | 6.96% | 0.19% | 0.26% | 0.03% | 1.07% | |
| WTI | −1.15% | 5.89% | −38.83% | 9.87% | 1.75% | 8.81% | 0.00% | 62.11% | |
| GLD | 0.17% | 0.95% | −3.78% | 2.59% | 0.02% | 0.01% | 0.01% | 0.04% | |
| Trsry | 0.16% | 0.54% | −2.05% | 1.82% | 0.26% | 0.44% | 0.06% | 2.36% | |
| S&P | 0.08% | 0.36% | −1.74% | 0.81% | 0.15% | 0.17% | 0.05% | 0.86% | |
| Daily return |
EGARCH volatility |
||||||||
| Mean | Standard dev | Min | Max | Mean | Standard dev | Min | Max | ||
| PANDEMIC | WRLD | −2.72% | 5.97% | −10.44% | 5.75% | 0.29% | 0.10% | 0.18% | 0.48% |
| EUR | −2.42% | 5.44% | −14.06% | 1.81% | 276.49% | 778.65% | 0.06% | 2203.55% | |
| USA | −2.83% | 7.43% | −12.92% | 8.71% | 0.41% | 0.26% | 0.21% | 0.93% | |
| ASIA | −2.11% | 2.40% | −5.19% | 2.75% | 0.07% | 0.02% | 0.05% | 0.09% | |
| ITL | −2.27% | 8.13% | −20.54% | 6.60% | 0.26% | 0.54% | 0.01% | 1.58% | |
| SPN | −2.41% | 7.26% | −17.22% | 5.32% | 0.25% | 0.35% | 0.01% | 1.03% | |
| CHN | −1.54% | 3.33% | −6.09% | 3.79% | 0.05% | 0.04% | 0.01% | 0.10% | |
| GER | −2.85% | 5.98% | −15.09% | 3.69% | 0.20% | 0.04% | 0.14% | 0.27% | |
| FRA | −2.48% | 6.44% | −14.90% | 5.12% | 0.30% | 0.06% | 0.21% | 0.39% | |
| KOR | −3.18% | 5.90% | −11.00% | 10.05% | 0.28% | 0.11% | 0.14% | 0.44% | |
| SWZ | −1.50% | 4.46% | −11.33% | 3.91% | 4.12% | 11.34% | 0.01% | 32.17% | |
| UK | −2.90% | 5.35% | −14.21% | 1.26% | 0.16% | 0.04% | 0.11% | 0.22% | |
| BC | −3.66% | 14.25% | −31.57% | 15.83% | 0.19% | 0.26% | 0.03% | 1.07% | |
| WTI | −3.53% | 13.69% | −27.99% | 21.36% | 1.75% | 8.81% | 0.00% | 62.11% | |
| GLD | −1.34% | 2.32% | −4.88% | 2.45% | 0.02% | 0.01% | 0.01% | 0.04% | |
| Trsry | −0.14% | 1.41% | −2.10% | 1.74% | 0.26% | 0.44% | 0.06% | 2.36% | |
| S&P | −1.70% | 1.20% | −3.42% | 0.73% | 0.15% | 0.17% | 0.05% | 0.86% | |