The effect of the COVID-19 pandemic on stock prices with the event window approach: A case study of state gas companies, in the energy sector
The effect of the COVID-19 pandemic on stock prices with the event window approach: A case study of state gas companies, in the energy sector
Stock price data at State Gas Company is defined as the time-series data comprising varying volatility and heteroscedasticity. One of the best models used to solve the problem of heteroscedasticity is the GARCH (generalized autoregressive conditional heteroscedasticity) model. Therefore, this study aims to build the most suitable model for predicting the 186 days before and 176 days after the Covid-19 pandemic, as well as to provide recommendations to reduce the impact of daily stock price movem