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

© 2023 Global Journals Volume XXIII Issue II Version I 58 Global Journal of Human Social Science - Year 2023 ( )E Impact of COVID-19 on Stock Market Volatility and Forecast using ARIMA and EGARCH within the standard error bounds, we can conclude that ARIMA (4,1,1) is appropriate. Figure 3 presents the Ljung-Box test for squared residuals; no lag is found to be significant in the correlogram of the residual and hence there is no information leftuncaptured. Figure 4: Correlogram after estimation of ARIMA (4,1,1)Exponential GARCH (1,1) e) Exponential GARCH (1,1) The coefficient of interest is the asymmetric term. The term is positive (0.2983) and significant at 1% level. This means that at the time of computation of the results, bad news from COVID-19 has failed to significantly aggravate the behavior of the stock exchange composite index. The outbreak and the bad news of COVID-19 pandemic does not significantly determine the volatility of the Ghana Stock Exchange Composite Index. Table 4: Estimate of EGARCH (1,1) of GSECI Variable Coefficient Std. Error t-Statistic Constant -1.203569** 0.503448 -2.390653 ARCH 0.505702*** 0.150296 3.364698 Asymmetric -0.03326 0.089315 -0.372384 GARCH 0.894308*** 0.050997 17.53663 Autocorrelation Partial Correlation AC PAC Q-Stat Prob 1 -0.288 -0.288 69.788 0.000 2 0.104 0.023 78.953 0.000 3 -0.005 0.034 78.973 0.000 4 0.165 0.185 101.88 0.000 5 -0.003 0.101 101.89 0.000 6 0.110 0.129 112.04 0.000 7 0.065 0.130 115.65 0.000 8 0.080 0.109 121.05 0.000 9 0.037 0.069 122.20 0.000 10 0.042 0.022 123.70 0.000 11 0.013 -0.028 123.84 0.000 12 0.086 0.026 130.16 0.000 13 0.016 -0 .001 130.37 0.000 14 0.034 -0.013 131.38 0.000 15 0.027 -0.006 132.02 0.000 16 0.077 0.045 137.07 0.000 17 -0.032 -0.026 137.94 0.000 18 0.020 -0.037 138.30 0.000 19 0.006 -0.036 138.33 0.000 20 0.060 0.015 141.39 0.000 21 -0.011 -0.002 141.50 0.000 22 0.000 -0.030 141.50 0.000 23 0.012 -0.012 141.61 0.000 24 0.019 0.000 141.92 0.000 25 -0.021 -0.020 142.29 0.000 26 -0.029 -0.054 142.99 0.000 27 0.047 0.016 144.88 0.000 28 0.035 0.058 145.97 0.000 29 0.005 0.054 145.99 0.000 30 -0.012 0.022 146.11 0.000 31 -0.020 -0.027 146.45 0.000 32 -0.021 -0.057 146.83 0.000 33 0.040 0.015 148.24 0.000 34 -0.003 0.012 148.25 0.000 35 -0 .007 -0.013 148.30 0 .000 36 -0 .001 -0.015 148.30 0 .000