COMMON VOLATILITY IN INTERNATIONAL EQUITY MARKETS

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.