| Resumo: | Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis a ected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using basic GARCH type models. The data were then divided into three di erent sub-periods to allow the behavior of stock market in di erent sub-periods to be investigated. The following sub-periods are identi ed: Dot-Com crisis, Quiet and Subprime crisis. This paper revealed that the Subprime crisis turned out to have bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric e ects.
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