Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach

► We model the volatility of the Chinese stock markets by a generalized additive nonparametric smoothing approach. ► We investigate the asymmetry effects of shocks in the Chinese stock markets volatility. ► An asymmetric effect of negative news exists in the Chinese stock markets. ► A minimum amount of good news is required for the Chinese markets to remain calm. ► The generalized additive nonparametric model significantly outperforms the parametric models for Chinese stock volatility forecasts.