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Curto, J. (2021). To keep faith with homoskedasticity or to go back to heteroskedasticity? The case of FATANG stocks. Nonlinear Dynamics. 104 (4), 4117-4147

J. J. Curto,  "To keep faith with homoskedasticity or to go back to heteroskedasticity? The case of FATANG stocks", in Nonlinear Dynamics, vol. 104, no. 4, pp. 4117-4147, 2021

@article{curto2021_1732208246731,
	author = "Curto, J.",
	title = "To keep faith with homoskedasticity or to go back to heteroskedasticity? The case of FATANG stocks",
	journal = "Nonlinear Dynamics",
	year = "2021",
	volume = "104",
	number = "4",
	doi = "10.1007/s11071-021-06535-8",
	pages = "4117-4147",
	url = "https://www.springer.com/journal/11071"
}

TY  - JOUR
TI  - To keep faith with homoskedasticity or to go back to heteroskedasticity? The case of FATANG stocks
T2  - Nonlinear Dynamics
VL  - 104
IS  - 4
AU  - Curto, J.
PY  - 2021
SP  - 4117-4147
SN  - 0924-090X
DO  - 10.1007/s11071-021-06535-8
UR  - https://www.springer.com/journal/11071
AB  - Did the pattern of US stock market volatility change due to COVID-19 or have the US stock markets been less volatile despite the pandemic shock? And as for tech stocks, are they even less volatile than the market overall? In this paper, we provide evidence in favor of a “quietness” in the stock markets, interrupted by COVID-19, by analyzing dispersion, skewness and kurtosis characteristics of the empirical distribution of nine returDid the pattern of US stock market volatility change due to COVID-19 or have the US stock markets been less volatile despite the pandemic shock? And as for tech stocks, are they even less volatile than the market overall? In this paper, we provide evidence in favor of a “quietness” in the stock markets, interrupted by COVID-19, by analyzing dispersion, skewness and kurtosis characteristics of the empirical distribution of nine returns series that include individual FATANG stocks (FAANG: Facebook, Amazon, Apple, Netflix and Google; plus Tesla) and US indices (S&P 500, DJIA and NASDAQ). In comparison with the years before, the daily average return after COVID-19 was 6.48, 2.58 and 2.34 times higher for Tesla, Apple and NASDAQ, respectively. In terms of volatility, the increase was more pronounced in the three stock indices when compared to the individual FATANG stocks. This paper also puts forward a new methodology based on semi-variance and semi-kurtosis. While the value of the ratio between semi-kurtosis and kurtosis is always higher than 70% for the three US stock indices, in the case of stocks the opposite is true, which highlights the importance of large positive returns when compared to negative ones. Structural breaks and conditional heteroskedasticity are also analyzed by considering the traditional symmetrical and asymmetrical GARCH models. We show that in the most recent past, despite the COVID-19 pandemic, the FATANG tech stocks are characterized mostly by conditional homoskedasticity, while the returns of US stock indices are characterized mainly by conditional heteroskedasticity. 
ER  -