Global Journal of Human Social Science, E: Economics, Volume 23 Issue 2

© 2023. Aminu Osman, Anthony Abaidoo, Justina Antwi-Konadue & Frances Kwaw Andoh. This research/review article is distributed under the terms of the Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0). You must give appropriate credit to authors and reference this article if parts of the article are reproduced in any manner. Applicable licensing terms are at https://creativecommons.org/licenses/by-nc-nd/4.0/. Global Journal of HUMAN-SOCIAL SCIENCE: E Economics Volume 23 Issue 2 Version 1.0 Year 2023 Type: Double Blind Peer Reviewed International Research Journal Publisher: Global Journals Online ISSN: 2249-460x & Print ISSN: 0975-587X Impact of COVID-19 on Stock Market Volatility and Forecast using ARIMA and EGARCH By Aminu Osman, Anthony Abaidoo, Justina Antwi-Konadue & Frances Kwaw Andoh University of Cape Coast Abstract- Investors are not only interested in the average return on a stock but how risky to hold the assets. It is obvious that COVID-19 has caused unprecedented global economic crises. The study forecast stock amidst the negative shock of COVID-19 and also examine the effect of novel COVID-19 on the stock exchange market by employing ARIMA and EGARCH model using daily data of Ghana Stock Exchange Composite Index from October 2017 to February 2021. It was revealed that the bad news of COVID-19 did not significantly impact on the volatility of the stock. Forecast of the stock shows that the Ghana stock exchange composite index will experience a spiral decrease down till the end of 2021. There was evidence of the presence of volatility in the stock and hence risk-adverse investors must be wary of their investment of stock. Keywords: covid-19, stock exchange, composite index, autoregressive, moving average, ARIMA, GARCH. GJHSS-E Classification: DDC Code: 338.542 LCC Code: HB3711 ImpactofCOVID19onStockMarketVolatilityandForecastusingARIMAandEGARCH Strictly as per the compliance and regulations of: