Abstract:

In this study, the volatility behavior of the stock markets of BRICS-T countries (BIST100, BOVESPA, MOEX, NIFTY NEXT 50, Shanghai Composite Index, South Africa 40 Index) and the existence of asymmetric relationships in these stock markets are examined with the help of the stochastic volatility model. The study covers the daily data for the period 28.05.2001-22.11.2023. In the study, return series are first calculated by taking the logarithmic differences in the daily data of the stock markets. With the help of asymmetric stochastic volatility (ASV) model with dynamic leverage effect, the persistence of volatility and predictability of volatility in stock market indices are examined. In addition, in the analysis the level of correlation between shocks and the volatility is also examined. Findings show that these stock indices have volatility continuity and a strong level of predictability. Morever, it is also found that there is an asymmetric volatility and strong leverage effect in these stock markets.