Is stock market volatility asymmetric? A multi-period analysis for five countries

This study examines the asymmetry in the volatility of the returns of five indices, namely, PSI 20 (Portugal), ISEQ 20 (Ireland), MIB 30 (Italy), ATHEX 30 (Greece) and IBEX 35 (Spain) using daily data from 2004-2016. For this purpose, we estimate the GJR and EGARCH asymmetric models for the whole sample and then split it into three subperiods of approximately four years each to examine how the coefficient on asymmetry behaves over time. Our results for the full sample show that all indices exhibit different levels of asymmetry. When we consider the subsample analysis however results show that while there is mixed evidence from the first to the second subperiods, all returns evidence an increase in asymmetry from the second to the last subperiod.