Abstract
The main purpose of this chapter is to examine long-term volatility of stock markets in Romania, Poland, Greece, and USA using asymmetric GARCH class models. The selected financial databases include daily log-returns of sample stock market major indices during the period from January 2000 until January 2014. The empirical results provide an additional contribution to existing literature regarding volatility estimations and international portfolio investment strategies. Moreover, this book chapter provides a useful empirical approach for a better understanding of volatility behavioral patterns, similar reaction to external shocks, international contagion, the impact of new information on the market and risk management optimal strategies, investor risk aversion and international portfolio diversification benefits.