In this paper we model six major foreign stock index returns as conditionally heteroscedastic processes with time dependent autocorrelation. The findings point to a significant inverse relationship between volatility and autocorrelation. This is in agreement with previous findings for the US...

There is able empirical evidence that the conditional volatility of stock returns is asymmetric in the sense that negative innovations increase volatility more than positive innovations of an equal magnitude. Less attention, however, has been paid to possible asymmetries in the conditional mean....