COVID19 Outbreak Impact on International Stock Markets Volatility Contagion

We analyze volatility contagion between the U.S. and Chinese stock markets international capital markets. The is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH GAS models under Gaussian, GED t-Student distributions. 21,000 intraday observations of thirteen from January/1st to June/25th 2020 are employed. Once modeled, incidence American on rest bourses tested employing Vector Autoregressive Markov Switching Models. Evidence confirms in other volatility; common breakpoints Intermarket high periods stand out.