A 10 min tick volatility analysis between the Ibovespa and the S&P500

Paulo Ceretta (), Alexandre da Costa (), Marcelo Righi () and Fernanda Müller ()
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Paulo Ceretta: UFSM
Alexandre da Costa: UFSM
Fernanda Müller: Federal University of Santa Maria

Economics Bulletin, 2013, vol. 33, issue 3, 2169-2176

Abstract: In this paper we analyze intraday data on a 10-minute interval and compared the major market index in South America, the Ibovespa and sync up with the S&P500 in New York. The main target is to determine differences of volatility, in the Brazilian index, before and after the opening bell in New York. To reach this goal, we utilize the GARCH (autoregressive general heteroskedasticity) matching up times that both markets were open, and comparing to the hours that the Brazilian index was trading alone, without the direct influence of one of the American main indexes, the S&P500. As a result, we are able to disclose that this difference in volatility exists.

Keywords: GARCH; intraday; volatility. (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2013-08-27
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