ABSTRACT
This study investigates the impact of COVID-19 on the volatility of climate-related investments in India. The study evaluates the certainty of investments related to climate change in India. The GARCH (1, 1) model is employed on the CARBONEX index of India. The author has found evidence of increasing volatility due to COVID-19. Also, a large degree of volatility persistency has been exhibited by S&P BSE CARBONEX due to COVID-19. In conclusion of the study, the author discovered that during COVID-19, a rise of 145.75% in unconditional variance was seen.
ABSTRACT
This article analyses the impact of COVID-19 on the volatility of ESG investing in India. Furthermore, it assesses the investment certainty in ESG related activities in India after detecting the first case of disease. A generalised autoregressive conditional heteroscedasticity model has been applied to the S&P BSE 100 ESG Index returns. The results show that after COVID-19, the risk related to the market price of the S&P BSE 100 ESG Index has increased, and the certainty of investment decreased. Further, the result of the GARCH (1, 1) model estimation indicates the presence of a large degree of persistency in the S&P BSE 100 ESG index. In addition, after reporting the first case of COVID-19, unconditional variance has been increased by 211.98%.