A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …