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Export Reference (APA) 
Curto, J. & Serrasqueiro, P. (2022). The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model. Finance Research Letters. 46
Export Reference (IEEE) 
J. J. Curto and P. N. Serrasqueiro,  "The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model", in Finance Research Letters, vol. 46, 2022
Export BibTeX 
@article{curto2022_1716241289122,
	author = "Curto, J. and Serrasqueiro, P.",
	title = "The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model",
	journal = "Finance Research Letters",
	year = "2022",
	volume = "46",
	number = "",
	doi = "10.1016/j.frl.2021.102247",
	url = "https://www.sciencedirect.com/journal/finance-research-letters"
}
Export RIS 
TY  - JOUR
TI  - The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model
T2  - Finance Research Letters
VL  - 46
AU  - Curto, J.
AU  - Serrasqueiro, P.
PY  - 2022
SN  - 1544-6123
DO  - 10.1016/j.frl.2021.102247
UR  - https://www.sciencedirect.com/journal/finance-research-letters
AB  - In this paper we hypothesize that not all stocks and sectors are affected equally by COVID-19 in terms of return volatility. Specifically, we hypothesize that at least some sectors (Information Technology, Consumer Discretionary, Telecom Services, Consumer Staples and Energy) must show statistically significant differences. We analyze eleven SP500 sectors and FATANG stocks, estimating an Asymmetric Power GARCH model including a dummy variable to account for the outbreak. Results reveal an exacerbation of volatility after February 2020 and validate our hypothesis with few exceptions. Based on a likelihood ratio test, the null hypothesis is rejected in most cases in favor of our APARCH(1, 1).
ER  -