This paper focuses on the asymmetric behaviour of stock market volatility. Usually, good and bad news do not have the same impact in stock prices. Therefore, we assess how markets react to good and bad news. We employ the TGARCH and EGARCH models to asses these feature of the data. We use a long time span from 1995 to 2016 covering several financial crises. Our results show that for the developed countries there is evidence of asymetric behavior in stock indices.