Abstract
The paper investigates the volatility spillovers among five major Latin American (LA) stock markets under the presence of the structural breaks in variance. We employ a multivariate dynamic conditional correlation (DCC GARCH) model allowing for structural breaks in variance. The dynamic correlations show that volatility spillover effects among the markets are not strong. Causality in mean tests indicate one way causality from BOVESPA to all markets, whereas causality in variance tests indicate one way causality only from BOVESPA to IPSA. These findings suggest that while the markets in the sample are interdependent, there is not enough statistical evidence to infer the contagion effects among the markets.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
