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Backtesting VaR under the COVID-19 sudden changes in volatility.

ABSTRACT: We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen's Skewed-t distribution with EGARCH extended to control for sudden changes in volatility. We oversee the COVID-19 effect on measures of downside risk such as the Value-at-Risk. Our results show that there is a significant sudden shift up in the return distribution variance post the announcement of the pandemic, which must be explained properly to obtain reliable measures for financial risk management.

SUBMITTER: Castillo B

PROVIDER: S-EPMC8863910 | biostudies-literature | 2021 Nov

REPOSITORIES: biostudies-literature

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Backtesting VaR under the COVID-19 sudden changes in volatility.

Castillo Brenda B León Ángel Á Ñíguez Trino-Manuel TM

Finance research letters 20210318

We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen's Skewed-t distribution with EGARCH extended to control for sudden changes in volatility. We oversee the COVID-19 effect on measures of downside risk such as the Value-at-Risk. Our results show that there is a significant sudden shift up in the return distribution variance pos ...[more]

PMID: 35221805

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Project description:ImportanceSpontaneous adverse reaction reports of sudden hearing loss have been observed, and a population-based cohort study conducted in Israel showed an increase in the incidence of sudden sensorineural hearing loss (SSNHL) following vaccination with messenger RNA COVID-19 vaccine BNT162b2 (Pfizer-BioNTech). However, in this setting, the possibility of confounding remained.ObjectiveTo assess a potential association between COVID-19 vaccinations and SSNHL.Design, setting, and participantsThis register-based country-wide retrospective cohort study of 5.5 million Finnish residents was conducted from January 1, 2019, to April 20, 2022, and included all individuals who were identified from the population information system who were alive or born during the study period except individuals who had SSNHL during 2015 to 2018 according to specialized care derived diagnosis codes for SSNHL (International Statistical Classification of Diseases and Related Health Problems, Tenth Revision [ICD-10] code H91.2) as a primary or secondary diagnosis.ExposuresThe a priori primary risk period was 0 to 54 days following each COVID-19 vaccination. The risk periods for different vaccine doses did not overlap so that a later vaccine exposure ended the previous risk period. The secondary risk period was from 55 days following each COVID-19 vaccination until a subsequent COVID-19 vaccination. A secondary analysis included a risk time from 0 to 54 days following a positive polymerase chain reaction test result for SARS-CoV-2.Main outcomes and measuresThe incidences of SSNHL following COVID-19 vaccination were compared with the incidences before the COVID-19 epidemic in Finland. The Poisson regression model included calendar time, age, sex, diabetes, cardiovascular disease, other chronic diseases, and the number of visits in primary health care.ResultsFor the 5.5 million Finnish residents included in the study, the comparison time comprised 6.5 million person-years, the primary risk time of 1.7 million person-years, and the secondary risk time of 2.1 million person-years. Before the COVID-19 epidemic in Finland, 18.7/100 000 people received a diagnosis of SSNHL annually. The study data suggested no increased risk for SSNHL following any COVID-19 vaccination. In particular, adjusted incidence rate ratios with 95% confidence intervals for the BNT162b2 vaccine's 3 doses were 0.8 (95% CI, 0.6-1.0), 0.9 (95% CI, 0.6-1.2), and 1.0 (95% CI, 0.7-1.4), respectively. There was no association between SARS-CoV-2 infection and an increased incidence of SSNHL.Conclusions and relevanceThe results of this cohort study show no evidence of an increased risk of SSNHL following COVID-19 vaccination. The study accounted for previous disease and other potential confounding factors. These results are based on diagnosis codes in specialized care but still need to be verified in settings that are capable of evaluating the degree of hearing loss.

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Backtesting VaR under the COVID-19 sudden changes in volatility.

Publications

Backtesting VaR under the COVID-19 sudden changes in volatility.

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