A COMPARATIVE ANALYSIS OF VOLATILITY MODELS IN SOME EMERGING STOCK EXCHANGES

Abstract

This document compares volatility of Mexico, Brazil, and Argentina stock exchanges under GARCH models during the 1990's financial crises. On an intra-market approach, the IPyC was more volatile during the Asian financial crisis. On an inter-market approach, Bovespa showed to be the most volatile during the period of study. The IPyC index shows that whenever returns drop the effect on the conditional volatility is greater in a bullish market. This asymmetric pattern was captured on the spread between tbe TGARCH and GARCH values and it shows that negative returns have been dominating positive ones besides the existence of bullish markets.