Climate change investing and COVID-19: evidence from return volatility

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.