COVID-19 Contaminations and Forex Market: A DCC-GARCH Graphical Approach


Authors : Hamza BOUHALI; Ahmed DAHBANI; Brahim DINAR

Volume/Issue : Volume 6 - 2021, Issue 12 - December

Google Scholar : http://bitly.ws/gu88

Scribd : https://bit.ly/3FjgKe0

This study investigates the impact of COVID-19 contaminations and remediation plans implemented by authorities on forex market volatility using a comparative analysis of the DCC-GARCH dynamic correlations graphs. This article has two main findings: 1. The presence of strong correlations between COVID-19 contamination and forex market volatility. 2. The macro-economic policies and sanitary mitigation strategies yielded similar outcomes regardless of each country's financial market degree of development. These results can help authorities prepare better for the upcoming COVID-19 waves.

Keywords : COVID-19, Exchange Rates, Graphical Analysis.

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