2025/10/15 by Yang, Junlin
Economics, Econometrics and Finance · #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Methodology (stat.ME) #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.2510.16010
openalex publication_date 2025/10/15 · openalex created_date 2025/10/22 · openalex updated_date 2026/07/28
This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate EGARCH(1,1) and TGARCH(1,1) models in a by-window design. The sample is split into the 2013 Taper Tantrum, the 2020-2021 COVID-19 period, the 2022-2023 rate-hike cycle, and tranquil phases. Prior work typically studies a single market or a static period; to our knowledge no study unifies institutional comparison with multi-crisis dynamics within one GARCH framework. We address this gap and show that all three markets display strong volatility persistence and fat-tailed returns. During crises both persistence and asymmetry increase, while tail thickness rises, implying more frequent extreme moves. After crises, parameters revert toward pre-shock levels. Cross-country evidence indicates a buffering role of institutional maturity: Malaysias stronger regulatory and information systems dampen amplification and speed recovery, whereas the Philippines thinner market structure prolongs instability. We conclude that crises amplify volatility structures, while institutional robustness governs recovery speed. The results provide policy guidance on transparency, macroprudential communication, and liquidity support to reduce volatility persistence during global shocks.