Sudden changes in volatility in European stock markets

Abstract

This paper studies the volatility in ten European stock markets (Denmark, France, Germany, Ireland, Italy, Netherland, Spain, Sweden, Switzerland and United Kingdom) during the periods of financial crisis (East Asian currency crisis, Subprime crisis…) from 1990 to 2012. We apply Markov Regime Switching SW-GARCHmodel. Our results show that most of the European stock markets are closely interlinked to the U.S.