This article uses high-frequency exchange rate data for a group of 13 Latin American countries in order to analyse volatility co-movements. Particular interest is posed on understanding the existence of a common volatility process during the 1995-2008 period. The analysis relies on bivariate common factor models. We test for second-order common features using the common autoregressive conditional heteroskedasticity-feature methodology developed by Engle and Kozicki (1993). Overall, the results of this article indicate that while most currencies display evidence of time-varying variance, the volatility movements in the Latin American foreign exchange markets seems to be mainly country specific. Common volatility processes seem to be present only for a few South American markets.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.