In the second part of our analysis on estimated volatility, we look at several products linked to single stocks, ETFs and market cap indices.
The analysis based on the GARCH model for estimated volatility shows that the SPDR Gold Shares ETF had the lowest estimated volatility in both sample periods. In addition, Alibaba, Alphabet and the VanEck Vectors Gold Miners ETF suffered from excessive volatility in 2019, with the latter impacted by volatility fluctuations in 2020. Simultaneously, large cap indices such as the S&P 500 and DJ Industrial Average Index registered significant upward movement in their estimated volatility in 2020
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