How volatile are East Asian stocks during high volatility periods?

This study reports the estimates of the magnitude of volatility during abnormal times relative to normal periods for seven East Asian economies using a rudimentary univariate Markov-switching ARCH method. The results show that global and regional events like the 1990 gulf war and the 1997 Asian currency crisis led to high volatility episodes whose magnitude relative to normal times differ from country to country. Country-specific events like the opening up of country borders in the mid-1990s are also observed to lead to high volatility periods. Additional insights are obtained when volatility was assumed to evolve according to a three-state Markov regime switching process.