Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

euro currency, had on returns volatility across the different members of the currency union. We analyse the twelve … countries that adopted the euro in January 2002, over the sample period July 1990 to December 2006. Volatility is measured …. We find that overall there is a distinct change in the dynamics of asymmetric volatility across the various stages in the …