Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows

Figure 11

The time evolution for the sixth-order standardised moments for the period 2019–2021, the COVID-19 pandemic. In panel (a), we show the analysis for Lloyds Bank, (b) details the same for Barclays Bank, and finally (c) shows the Bank of America. In panels (b) and (c), we see the sharp increase followed by a decrease, which is the representative of an economic crisis being present, this is around the start of the pandemic. However, Lloyds Bank does not necessarily follow this and instead, we see a steady increase followed by a sharp decrease further into 2020. This could be attributed to the U.K.’s slow handling of the pandemic.

(a)

(b)

(c)