Title: Dynamical linkages between volatility index and stock markets in ASEAN + 6 during economic uncertainty

Authors: Surachai Chancharat; Pichakorn Sithigon

Addresses: Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, 40002, Thailand ' Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, 40002, Thailand

Abstract: This study examines the relationship between the volatility index (VIX) and stock market indices in the ASEAN + 6 countries from daily stock market data from January 2, 2017, to December 30, 2022. The study is divided into two periods: the years 2017 to 2019, considered a regular period, and the years 2020 to 2022, considered a period with the coronavirus pandemic (COVID-19). This study utilises the generalised autoregressive conditional heteroscedastic (GARCH) and the threshold GARCH (TGARCH) models. The results of the analysis indicated an inverse relationship between volatility indices and stock market indices in the ASEAN + 6 countries.

Keywords: COVID-19; GARCH; generalised autoregressive conditional heteroscedastic; stock market; uncertainty; VIX; volatility index.

DOI: 10.1504/IJTGM.2026.155753

International Journal of Trade and Global Markets, 2026 Vol.22 No.3/4, pp.234 - 241

Accepted: 01 Aug 2025
Published online: 13 Aug 2026 *

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