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Common Volatility in International Equity Markets

Robert F. Engle and Raul Susmel
Journal of Business & Economic Statistics
Vol. 11, No. 2 (Apr., 1993), pp. 167-176
DOI: 10.2307/1391368
Stable URL: http://www.jstor.org/stable/1391368
Page Count: 10
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Common Volatility in International Equity Markets
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Abstract

In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a test recently developed by Engle and Kozicki. This test is also used to assess the validity of a one-factor autoregressive conditional heteroscedasticity model. We find that some international stock markets have the same time-varying volatility.

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