When some data on market volatility transmission becomes difficult to detect, then it can never be assessed how the transmission happened in the first place. For instance, researchers have found that stock price changes because of macroeconomic news announcements can be completed within an hour after such announcements have been made. This typically happens for a time period of fifteen minutes and in some cases based on the news can extend to as much as several hours. Wongswan (2006) was able to observe how volatility spurts exist in Korean and Thai markets. The volatility spurts seem to coincide with the news announcements made in the United States or in Japan. This indicates that intraday data and impact could also happen and that the spillover need not be constrained to just minutes. Even if responses does appear weak, slow and delayed responses do exist. Therefore, researchers stress on the importance of collecting data spread out over days or longer because volatility spillover effects extend typically the day the news was released to at least a day or two.
Researchers Jiang et al. (2012) conducted three steps to analyse the underlying issue. Firstly, they in analysing the existence of volatility spillovers, the researchers provide evidence and insights. Secondly, they are concerned with the magnitude. Researchers focus is on how and why the macroeconomic news announcements affect the magnitude of implied volatility spillovers. Thirdly, both scheduled and unscheduled news have been examined. There were differences in how the scheduled and the unscheduled have an impact on the implied spillover. Differences observed are twofold. First, there were differences in the way spillover of implied volatility, which was observed in synchronous international markets during the 2007-2010 time periods. This was the intense financial period where the financial crises had already creased some uncertainties. There were significant differences in the US and European market, and within European markets itself.