I am starting to think about my dissertation topic for my undergraduate degree.
I am interested in comparing volatility of stock indices during COVID-19 to the years leading up to the pandemic. I have conducted some research and, when modelling volatility, most others seem to use some form of the ARCH model.
If anyone could give me some introductory, or comprehensive, reading on how to create these models (or volatility models in general) it would be greatly appreciated.
As a side note, I have not taken any econometrics models as of yet, however I feel like I have quite a sound mathematical ability.
Thank you in advance, any guidance will be humbly received.