This study compares the volatility impact of structural shocks on stock markets across five developed economies: Spain (IBEX), the United States (NASDAQ), France (EURONEXT 100), the United Kingdom (FTSE 100), and Italy (FTSE MIB) and five developing economies: India (BSE SENSEX), China (SSE Composite), Brazil (BVSP), South Korea (KOSPI), and Malaysia (KLCI). Using daily closing prices sourced from Yahoo Finance for the period March 2020 to February 2022, the analysis employs the Standard Generalized Autoregressive Conditional Heteroskedasticity (SGARCH) model and the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to assess volatility dynamics and market co movements. The SGARCH results indicate that developed markets exhibit lower and more stable volatility, with shocks dissipating relatively quickly due to stronger market efficiency and greater financial depth. In contrast, developing markets show higher unconditional volatility, stronger immediate shock impacts, and more persistent volatility patterns, reflecting slower adjustment to structural disturbances. The DCC-GARCH findings further reveal that developed markets particularly the European indices display high and stable dynamic correlations, consistent with strong financial integration. Conversely, developing markets exhibit lower and more volatile correlations, with co movements that increase primarily during periods of global stress.