Table 3.
Statistics for returns and volatility for global spread phases. COVID-19 spread can be classified into three distinct phases. Phase I is when fatality was localized in China, which runs from Jan 1, 2020, to Feb 14, 2020. Phase II is when fatalities started happening in Europe, which runs from Feb 15, 2020, to Feb 28, 2020. Phase III, is when fatalities happened in the US as well which lasts till date.
| Daily return |
EGARCH volatility |
||||||||
|---|---|---|---|---|---|---|---|---|---|
| Mean | Standard dev | Min | Max | Mean | Standard dev | Min | Max | ||
| PHASE I | WRLD | 0.09% | 0.57% | −1.65% | 1.35% | 0.00% | 0.07% | 0.01% | 0.01% |
| EUR | −0.01% | 0.67% | −2.39% | 1.43% | 0.00% | 0.00% | 0.00% | 0.00% | |
| USA | 0.15% | 0.70% | −1.77% | 1.55% | 0.00% | 0.07% | 0.01% | 0.01% | |
| ASIA | −0.01% | 0.83% | −1.97% | 1.90% | 0.03% | 1.64% | 0.06% | 0.07% | |
| ITL | 0.04% | 0.93% | −2.34% | 2.41% | 0.00% | 0.07% | 0.01% | 0.01% | |
| SPN | 0.04% | 0.75% | −2.10% | 1.51% | 0.01% | 0.29% | 0.01% | 0.02% | |
| CHN | 0.05% | 1.30% | −2.91% | 2.81% | 0.00% | 0.00% | 0.00% | 0.00% | |
| GER | −0.01% | 0.84% | −2.71% | 1.40% | 0.03% | 1.64% | 0.06% | 0.07% | |
| FRA | −0.04% | 0.72% | −2.63% | 1.39% | 0.00% | 0.07% | 0.01% | 0.01% | |
| KOR | 0.06% | 1.61% | −3.87% | 3.83% | 0.01% | 0.29% | 0.01% | 0.02% | |
| SWZ | 0.10% | 0.54% | −1.46% | 1.31% | 0.00% | 0.00% | 0.00% | 0.00% | |
| UK | −0.11% | 0.69% | −2.41% | 1.57% | 0.03% | 1.64% | 0.06% | 0.07% | |
| BC | 1.12% | 2.82% | −3.54% | 6.96% | 0.00% | 0.07% | 0.01% | 0.01% | |
| WTI | −0.48% | 1.68% | −5.05% | 3.01% | 0.00% | 0.00% | 0.00% | 0.00% | |
| GLD | 0.12% | 0.60% | −1.34% | 1.33% | 0.03% | 1.64% | 0.06% | 0.07% | |
| Trsry | 0.06% | 0.27% | −0.57% | 0.57% | 0.00% | 0.07% | 0.01% | 0.01% | |
| S&P | 0.08% | 0.21% | −0.36% | 0.43% | 0.01% | 0.29% | 0.01% | 0.02% | |
| Daily return |
EGARCH volatility |
||||||||
| Mean | Standard dev | Min | Max | Mean | Standard dev | Min | Max | ||
| PHASE II | WRLD | −1.27% | 1.40% | −3.67% | 0.40% | 0.04% | 1.66% | 0.02% | 0.10% |
| EUR | −1.23% | 1.61% | −3.79% | 0.55% | 0.00% | 0.01% | 0.00% | 0.00% | |
| USA | −1.35% | 1.70% | −4.52% | 0.49% | 0.04% | 1.66% | 0.02% | 0.10% | |
| ASIA | −0.86% | 0.60% | −2.09% | 0.13% | 0.16% | 15.51% | 0.09% | 0.34% | |
| ITL | −1.08% | 2.12% | −5.29% | 1.44% | 0.04% | 1.66% | 0.02% | 0.10% | |
| SPN | −1.17% | 1.73% | −3.88% | 0.93% | 0.05% | 4.87% | 0.03% | 0.13% | |
| CHN | −0.56% | 1.06% | −2.20% | 0.79% | 0.00% | 0.01% | 0.00% | 0.00% | |
| GER | −1.27% | 1.55% | −3.94% | 0.72% | 0.16% | 15.51% | 0.09% | 0.34% | |
| FRA | −1.16% | 1.55% | −3.75% | 0.54% | 0.04% | 1.66% | 0.02% | 0.10% | |
| KOR | −1.51% | 1.94% | −4.92% | 2.05% | 0.05% | 4.87% | 0.03% | 0.13% | |
| SWZ | −1.07% | 1.59% | −3.54% | 0.86% | 0.00% | 0.01% | 0.00% | 0.00% | |
| UK | −1.36% | 1.77% | −3.97% | 0.32% | 0.16% | 15.51% | 0.09% | 0.34% | |
| BC | −1.76% | 3.87% | −7.08% | 5.24% | 0.04% | 1.66% | 0.02% | 0.10% | |
| WTI | −1.00% | 2.23% | −4.72% | 2.35% | 0.00% | 0.01% | 0.00% | 0.00% | |
| GLD | 0.03% | 1.65% | −3.78% | 1.90% | 0.16% | 15.51% | 0.09% | 0.34% | |
| Trsry | 0.34% | 0.35% | −0.09% | 1.11% | 0.04% | 1.66% | 0.02% | 0.10% | |
| S&P | 0.18% | 0.29% | −0.17% | 0.81% | 0.05% | 4.87% | 0.03% | 0.13% | |
| Daily return |
EGARCH volatility |
||||||||
| Mean | Standard dev | Min | Max | Mean | Standard dev | Min | Max | ||
| PHASE III | WRLD | −1.73% | 5.05% | −10.44% | 5.75% | 0.23% | 147.81% | 0.03% | 0.30% |
| EUR | −1.83% | 4.39% | −14.06% | 1.81% | 0.08% | 0.00% | 0.00% | 0.02% | |
| USA | −1.69% | 6.29% | −12.92% | 8.71% | 0.23% | 147.81% | 0.03% | 0.30% | |
| ASIA | −1.29% | 2.34% | −5.19% | 2.75% | 0.48% | 2203.55% | 0.12% | 0.93% | |
| ITL | −2.35% | 6.37% | −20.54% | 6.60% | 0.23% | 147.81% | 0.03% | 0.30% | |
| SPN | −2.17% | 5.60% | −17.22% | 5.32% | 0.10% | 568.71% | 0.03% | 0.25% | |
| CHN | −0.84% | 2.97% | −6.09% | 3.79% | 0.08% | 0.00% | 0.00% | 0.02% | |
| GER | −2.11% | 4.73% | −15.09% | 3.69% | 0.48% | 2203.55% | 0.12% | 0.93% | |
| FRA | −1.99% | 5.07% | −14.90% | 5.12% | 0.23% | 147.81% | 0.03% | 0.30% | |
| KOR | −1.67% | 4.97% | −11.00% | 10.05% | 0.10% | 568.71% | 0.03% | 0.25% | |
| SWZ | −0.97% | 3.62% | −11.33% | 3.91% | 0.08% | 0.00% | 0.00% | 0.02% | |
| UK | −2.13% | 4.41% | −14.21% | 1.49% | 0.48% | 2203.55% | 0.12% | 0.93% | |
| BC | −2.49% | 11.02% | −31.57% | 15.83% | 0.23% | 147.81% | 0.03% | 0.30% | |
| WTI | −3.98% | 14.10% | −38.83% | 21.36% | 0.08% | 0.00% | 0.00% | 0.02% | |
| GLD | −0.43% | 2.04% | −4.88% | 2.59% | 0.48% | 2203.55% | 0.12% | 0.93% | |
| Trsry | 0.10% | 1.32% | −2.10% | 1.82% | 0.23% | 147.81% | 0.03% | 0.30% | |
| S&P | −0.93% | 1.31% | −3.42% | 0.73% | 0.10% | 568.71% | 0.03% | 0.25% | |