Recent studies showed that asymmetries play a fundamental role in the study stock market volatility. Given its relevance and actuality, we examine the conditional volatility of NIKKEI 225, S&P 500 and STOXX 50 returns, particularly focusing on the asymmetric property of these markets. In order to conduct our analysis we use the symmetric GARCH and the asymmetric EGARCH and GJR-GARCH models. Data set comprises the daily closing prices of the above-mentioned indexes spanning from January 5, 1987 to March 29, 2013. Our findings show that, for all the three index returns considered, the conditional variance is an asymmetric function of the past residuals. Moreover, S&P 500 is the most asymmetric index while STOXX 50 is the less one. There is also evidence of persistency in the return series, which tends to be more pronounced for S&P 500. Thus, since the effects of shocks seem to take longer time to dissipate in the US, we may conclude that this market exhibits less market efficiency than the other markets analyzed.

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Asymmetries,EGARCH,GJR-GARCH