Résumé
In this paper, we introduce a new conditional volatility model (AEGAS-M) to analyze the impact of COVID-19 on US stock markets volatility and especially on risk premium of Dow Jones and SP500 both over the pre-Covid and during the Covid periods. The development of the AEGAS-M (Asymmetric exponential generalized autoregressive score in mean) model is based upon the stylized fact that investors demand a higher risk premium during ''bad'' volatility periods rather that during ''good'' ones. The results of the paper suggest that the AEGAS-M not only could capture stylized fact of volatility (jumps, leverage effect, persistence..), but also accommodate both skewness and the excess kurtosis in the US Stock markets returns distribution. Moreover, following a financial shock (like Covid-19 pandemic), there is a huge increase in volatility of US stock returns leading to a rise in required rates of return which depressed current prices. Not only the Covid-19 pandemic had a positive impact on the volatility of the two US stock returns, but a significant leverage effet was found confirming an asymmetric relationship between risk premium and volatility changes.