In this paper, using daily data for six major international stock market indexes and a modied EGARCH specication, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume eects.Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly t GARCH-type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.