This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective whether the volatility feedback is generated through a common GARCH multiplier or a separate measure of volatility in the jump intensity function. We also find that they can capture several distinguishing features of the return dynamics in emerging markets, such as, more volatility persistence, less leverage effects, fatter tails, and greater contribution and variability of the jump component.
Daal, Elton; Naka, Atsuyuki; and Yu, Jung-Suk, "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets;" (2006). Department of Economics and Finance Working Papers, 1991-2006. Paper 36.