[R-SIG-Finance] A question on volatility

[Megh Dal]

Dear all, I was trying to understand the correlation among the volatilities in different financial market, however am in dilemma what could be the rightful and acceptable-to-everyone approach. I thought to estimate the volatilities of individual markets using some GARCH modeling, then just calculate the correlation coefficient on the estimated time series of estimated daily volatilities. 

Is it correct approach to understand the correlation? Can somebody point me any online paper or any idea on the same?

Thanks for your time.