Greetings schoolars,
I'm working on my master thesis "Statistical analysis of digital industry during covid-19" (it's a draft title).
I will propably work with GARCH (or other ARCH models) but i am also considering using FF model to analyze volitality on markets.
One of my thesis is like "More restricted countries have experienced greater growth", I've found data about all covid restrictions in European countries since 01.01.2020 and I want to examine if those restrictions have significant impact on digital stock market.
My question is how to imput them into some ARCH or FF model and wich model would you recommend? Data contains 32 countries and 76 types of restrictions with start and end dates.
I wouldn't suggest that you use Fama-French because of recent criticism. See the attached screenshot for details. Best wishes David Booth
Further I would suggest you look at event study models. An introduction is presented in the attached two papers. Downloads are referenced at Google scholar. Best wishes David Booth
I agree with David Eugene Booth. Event study would be a suitable approach for your objective.
Another popular way is to incorporate the dummies for the restrictions in the variance models.
Dear Mateusz,
I recommend @ Akfam Hasanov to employ event study for your objective.
Regards