Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model

G.K., Chetan Kumar and K.B., Rangappa and S., Suchitra (2022): Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model. Published in: Theoretical and Applied Economics , Vol. 29, No. No. 2 / 2022 (631), Summer (20 June 2022): pp. 151-164.

Abstract

Covid-19 has adversely affected all the nations and all the sectors of all nations. However, the effect of the same on all the sectors of the economy need not be uniform. Moreover, the severity of impact need not be the same across consequent waves. Knowing the severity of the impact across the waves as well as across the time periods shall be quite useful for the purpose of policy formulation. ARCH modelling helps us to gauge the intensity of shocks sustained across the sectors through heteroscedasticity which can be read as a proxy for shock. To understand the severity of shock across the sectors, the share value of the prominent companies across the sectors have been taken as a proxy for their performance. Evaluating the severity of shocks across the sectors shall help the government to note which sector needs greater support so as to create conducive fiscal and monetary initiatives to enable the economy to achieve the state of normality. This paper is designed to bridge the aforementioned research gap.

• Item Type: MPRA Paper
• Language: English
• Keywords: Covid-19, ARCH models, volatility, share market prices, impact on sectors, implications on government policies.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications

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