... and cover the period from January 1, 2007 to January 1, 2024. The standard Generalized Autoregressive Conditional Heteroscedastic (s-GARCH) models and their two other variants perform our estimated results. Findings The exponential GARCH (e-GARCH hereafter) and Glosten-Jagannathan-Runkle GARCH (GJR...

... of the estimated models and the robustness of the estimation. Finally, Section 5 concludes the results and outlines directions for further research. Day-of-the-week effect Dummy regression GARCH models Listed private equity Table 1 reports the descriptive statistics for the sample of the 11...

... markets so that a higher risk is reflected in an increased expected return. (6) r t = μ t + λ h t + δ t D C O V I D − 19 + ε t The modeling of the conditional variance remains unaffected and follows the corresponding GARCH model from equation (3...