Analysis of Stock Returns Volatility in the Belgian Stock Exchange

This paper analyzes the volatility of stock returns on the Belgian stock exchange during the period April 1991 to April 2008. The empirical analysis showed that there is a mean and volatility spillover effect from the big European markets. There are also mean spillover effects from the markets of the U.S.A. and the U.K. to the market of Belgium. The formation of Euronext stock exchange in September 2000 has affected the conditional volatility. Finally, the structural analysis of volatility with the GJR-GARCH model showed that current volatility is more influenced by past volatility rather than by the previous day shocks