STOCK RETURN VOLATILITY ON STOCK EXCHANGES AND ESTIMATOR MODELS BEFORE AND POST PANDEMI COVID 19 : A SYSTEMATIC LITERATURE REVIEW siwi nugraheni
Universitas Negeri Jakarta
Abstract
This study provides a literature review using a systematic database to test and check cross-references with a snowballing system. In this paper, previous research featured the Generalized Autoregressive Conditional Heteroskedesis (GARCH) method of return and stock market volatility. Capital Markets in different countries play an important role in the current world economic activity, which is called a ^barometer^ and ^alarm^ for economic and financial activity in a country or region. To prevent uncertainty and risk in the stock market, it is very important to effectively measure the volatility of stocks on index returns. However, the main objective of this review is to test the effective GARCH model recommended for performing market returns and volatility analysis. The secondary objective of this review study is to conduct a content analysis of the literature review of returns and volatility over a 4-year period (2018-2022) i.e. before and after the Covid 19 pandemic in 30 different papers. This study found that the GARCH method is still relevant to be used as a model for estimators of stock return volatility on various stock market exchanges and the development of the GARCH model with significant changes in research work in the last 4 years related to the emergence of the Covid 19 pandemic in various countries and most researchers have worked to develop the stock market.
