Do different time-horizons in volatility have any significance for the emerging markets?

•I test the impact of U.S. stock market's time-varying volatility and volatility-of-volatility on emerging markets.•I use two separate volatility contagion methods.•Findings show that contagion exists especially in the longer term.

This paper investigates the influence of U.S. stock market over emerging markets in terms of volatility and volatility of volatility (VOV) at different time horizons. It finds that spillover from the U.S. to emerging markets exists for VOV in a longer term.