The COVID-19 Global Fear Index, Realized Volatility and Jump

16 Pages Posted: 29 Jul 2021

See all articles by Richard Mawulawoe Ahadzie

Richard Mawulawoe Ahadzie

University of Tasmania - Tasmanian School of Business & Economics; University of Tasmania, Tasmanian School of Business and Economics

Date Written: July 22, 2021

Abstract

This paper subjects the global fear index (GFI) for the COVID-19 pandemic to an empirical investigation to determine its relationship with realized volatility, continuous volatility, and jump volatility for seven international indices. The results show evidence of a positive relationship between the measures of realized volatilities and the global fear index, which is persistent in periods of high volatility, and a negative relationship in periods of low volatility. It is observed that when serial dependence, systemic risk and alternative measure of volatility are considered the significance of the COVID-19 global fear index and volatility relationship decreases significantly.

Keywords: Realized volatility; continuous volatility; jumps; global fear index; VIX index

JEL Classification: G10, G11, G12

Suggested Citation

Ahadzie, Richard Mawulawoe and Ahadzie, Richard Mawulawoe, The COVID-19 Global Fear Index, Realized Volatility and Jump (July 22, 2021). Available at SSRN: https://ssrn.com/abstract=3891341 or http://dx.doi.org/10.2139/ssrn.3891341

Richard Mawulawoe Ahadzie (Contact Author)

University of Tasmania, Tasmanian School of Business and Economics ( email )

Hobart
Australia

University of Tasmania - Tasmanian School of Business & Economics ( email )

Locked Bag 1317
Launceston, 7250
Australia

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