This article explores how volatility in financial markets was affected by the Global Financial Crisis, focusing on Southeast Asian markets. It looks at how unexpected drops in stock values lead to higher volatility than unexpected increases. Understanding volatility is crucial for making smart investment decisions and pricing financial products like options. Policy makers use market volatility as a gauge for financial market and economic health. The study also highlights the growing financial ties between the US and Asian markets, suggesting that investing in similar assets across different markets can help manage risk.