Conditional dependence un NAFTA Block: GARCH model and Copula approach

Main Article Content

Miriam Sosa Castro https://orcid.org/0000-0002-6597-5293
Christian Bucio Pacheco https://orcid.org/0000-0002-0860-199X
Alejandra Cabello Rosales https://orcid.org/0000-0002-3569-1142

Keywords

Conditional Dependence, NAFTA, GARCH, Copula, Contagion Effect

Abstract

This article aims to analyze conditional dependence between the Mexican, American and Canadian stock markets during the period 2003-2018. Archimedean and elliptical Copulas and GARCH and TARCH models are employed to estimate conditional dependence in three subperiods: pre-crisis, crisis and pos- global financial crisis. Results reveal a 38% rise in conditional dependence during the crisis period, in relation to the previous period. On the other hand, the conditional dependence parameter diminishes when asymmetry is included.

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