A contemporary analysis of Mexican stock market volatility

Jorge Gonzalez, Roger Spencer and Daniel Walz

Applied Financial Economics, 2003, vol. 13, issue 10, 741-745

Abstract: It is found that there has been an increase in the volatility of the Mexican stock market over the past decade. However, employment of a GARCH model in conjunction with Tsay's outlier methodology demonstrates that the increased volatility is associated with outliers, not the underlying processes of the market. The association of outlier shocks with specific events indicates that market shocks were generated mainly by domestic factors during the first half of the 1990s, while international factors were the primary culprits after 1995.

Date: 2003
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DOI: 10.1080/09603100210140166

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