This paper, therefore, analyse asymmetric volatility comovement in the African frontier and emerging markets of Nigeria, South Africa and Egypt for the period 2000–2021. The asymmetric volatility is modelled through an asymmetric multivariate generalized autoregressive conditionally heteroscedastic- Baba, Engle Kraft and Krane MGARCH-BEKK (1,1) model. The paper finds significant volatility spillover between the three selected stock markets. However, the magnitude of own shock and volatility persistence is higher than cross volatility between the selected stock markets. The findings further provide evidence of significant asymmetric volatility coefficient which indicates that negative information does not only raise own market volatility but also raises covolatilities between the three selected stock markets. The paper recommends that any regulatory action that does not consider the cross effect has no much effects. Given that the stock exchange markets are interrelated and volatility spillovers exists across them.