Analysis of economic volatility in Copa Holdings (2015-2026) in the face of the pandemic: An approach using GARCH models and Granger tests
DOI:
https://doi.org/10.24054/face.v26i2.4602Keywords:
airline, COVID-19, economy, impact, riskAbstract
This study aims to evaluate the effect of the Covid-19 pandemic on the share price of Copa Holdings airline. The research employs a time series analysis, which is relevant due to the nature of stock market volatility. Methodologically, a quantitative approach was used, utilizing the GARCH model with Granger causality analysis as the primary method. The sample consisted of 2,812 records. The analysis was based on the aforementioned models. The results indicate that the pandemic acted as a structural shock that triggered GARCH volatility above historical levels, pushing the share price into a state of predictable chaos. This period was characterized by extreme risk persistence and a violent price reversal. The study's main contribution lies in laying the groundwork for developing entropy-based early warning models that anticipate collapses in the aviation sector in the face of black swan events
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