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

Figure 13

The evolution of the sixth-order standardised moment and GARCH parameter throughout the COVID-19 pandemic. (a) The sixth-order standardised moment evolution for the COVID-19 pandemic period. (b) The evolution for the GARCH parameter for the same period. The behaviour seen is in agreement with the banking stocks through the financial crisis of 2008. (c) The behaviour of the sixth-order standardised moment for the S&P 500 stock index through the 2008 financial crisis. We see a very noisy signal for much of the time period analysed. (d) The evolution of the GARCH parameter, . We show the analysis for the parameter for the period 2004 to 2012. The parameter evolution for the S&P 500 shows a similar dynamic to the pandemic period. However, the peak is an order of magnitude lower than seen in the COVID-19 pandemic period.

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