Abstract
This paper describes Latin American Integrated Market (MILA) major stock indices yields´ volatility and addresses the degree of dependence among such stock indices, by means of a multivariate non normal constant conditional correlation GARCH model for 2009-2016. Evidence was found that there is a low degree of dependence among the yields and that segmentation exists among some of its members. The degree of integration is higher in Chile and Mexico followed by Peru and finally Colombia. Despite the differentiated volatility between members of the MILA, the dependency level among their yields has been stable over the reference period, suggesting long term market integration
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