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

© 2023 Global Journals Volume XXIII Issue II Version I 60 Global Journal of Human Social Science - Year 2023 ( )E Impact of COVID-19 on Stock Market Volatility and Forecast using ARIMA and EGARCH Figure 6: Static Plot of Forecast g) EGARCH Forecast of GSECI Not much information was obtained from the dynamic forecast of using the EGARCH model. As a result, a static forecast was used and the results are shown in Figure 5. We can conclude from the plot that the return of GSECI is stable but shows intense volatility. Thought it is sown that return on the composite index will be stable over time, there is exist turbulence throughout the period and we can predict that volatility may occur for the outer days, months, and years. Volatility towards the end of the years still shows high volatility. Volatility during the period of COVID-19 was intense in the second quarter of 2020. Volatility was very severe from May to June but slowed in July and become extremely high and slowed towards the end of August 2020. The volatility measures the risky involve when an investor holds an asset in such a stock exchange market. V. C onclusion The study found that the GSECI data is non- stationary for the period October, 2018 to February 2021. It becomes stationary after first differencing of the original GSECI data. After the comparison made with several tentative models, ARIMA (4,1,1) is found to be ideal for the study.The period of bad news of the COVID- 19 adds to the declining trend of the composite index whose volatility begun to subsides towards the end of August, 2020 with some slight turbulence in the first two months of 2021. This might be due to the rising in the COVID-19 case count which hit Ghana after the 2020 General Election on 7 th December. The high volatility of the composite indexin the EGARCH shows that investors should be careful of the risky nature of the assets since it isvery irrational to invest in assets that will not provide a sure profit. However, since the volatility is beginning to slow in the early 2021, investors can be ready to make informed decisions on the index. R eferences R éférences R eferencias 1. Donthu, N., & Gustafsson, A. (2020). Effects of COVID-19 on business and research. Journal of Business Research 117 , 284–289: https://doi.org/ 10.1016/j.jbusres.2020.06.008. 2. Kahn, K., Zhao, H., Zhang, H., & Ya, H. (2020). The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices. Journal of Asian Finance, Economics and Business Vol 7 No 7 , 463 – 474. doi: 10.13106/jafeb.2020. vol7.no7.463. 3. Kochhar, R. (2020, June 11). Unemployment rose higher in three months of COVID-19 than it did in two years of the Great Recession . Retrieved from Factank. News in the Number: https://www.pew research.org/fact-tank/2020/06/11/unemployment- rose-higher-in-three- months-of-covid-19-than-it-did- in-two-years-of-the-great-recession/ 4. Lakuma, P., & Sunday, N. (2020). Impact of COVID- 19 on micro, small, and medium businesses in Uganda. Uganda. https://www.brookings.edu/blog/ africa-in-focus/2020/05/19/impact-of-covid-19-on-mi cro-small-and-medium-businesses-in-uganda/: Africa in Focus. 5. Sunarya, I. (2019). Modeling and Forecasting Stock Market Volatility of NASDAQ Composite Index. Economics and Accounting Journal, Vol. 2, No. 3 , 181-189. 6. Wang, Y., Hong, A., Li, X., & Gao, J. (2020). Marketing innovations during a global crisis: Astudy of China firms’. Journal of Business Research 116 , 214–220: https://doi.org/10.1016/j.jbusres.2020.05. 029. 7. WHO, World Health Organisation. (2021). WHO Coronavirus Disease (COVID-19) Dashboard. Data last updated: 2021/2/28, 5:31pm CET. https:// covid19.who.int/ .0000 .0002 .0004 .0006 .0008 .0010 .0012 I II III IV I II III IV I 2019 2020 2021 Forecast of Variance