摘要：THIS RESEARCH PAPER FOCUSES TO CAPTURE CHANGES IN STATISTICAL PROPERTY BEFORE AND AFTER THE COVID-19 PANDEMIC IMPACT. WE COLLECTED SAMPLE DATA FROM JANUARY 2018 TO SEPTEMBER 2021 FOR TWO RANDOMLY SELECTED STOCK MARKETS, SUCH AS: BELGIUM (BRUSSELS STOCK EXCHANGE) AND INDONESIA (JAKARTA STOCK EXCHANGE). THE MAIN OBJECTIVE OF THIS PAPER IS TO TEST CHANGES IN NORMALITY PATTERN CONSIDERING AUGMENTED DICKER FULLER TEST AND TO DEMONSTRATE CHANGES IN RETURN PLOTS USING LOESS FITNESS, AND WITH ESTIMATED DENSITY PLOTS. THE COVID 19 PANDEMIC HAD A SIGNIFICANT EFFECT ON THE BEHAVIOUR OF STOCK MARKETS, WHILE THE GLOBAL ECONOMY HAS BEEN SEVERELY AFFECTED.
关键词：GARCH FAMILY MODELS;VOLATILITY PATTERNS;COVID-19 PANDEMIC;LOESS
FITNESS ANALYSIS;STOCK MARKET
