In this paper, we use weekly stock market data for a group of Latin America
n countries to analyze the behavior of volatility through time. We are part
icularly interested in understanding whether periods of high volatility are
correlated across countries. The analysis uses both on univariate and biva
riate switching volatility models. Our results do not rely on the correlati
on coefficients, but on the co-dependence of volatility regimes. The result
s indicate that high-volatility episodes are, in general, short-lived, last
ing from 2 to 12 weeks. We find strong evidence of volatility co-movements
across countries, especially among the Mercosur countries. (C) 2001 Elsevie
r Science B.V. All rights reserved.