Spillovers de Volatilidades Cambiais e de Mercados Financeiros Internacionais no Mercado Acionário Brasileiro

We present in this study the results of volatility spillover in theBrazilian stock market, measured by conditional correlations. Using GARCHmultivariate conditional correlations were estimated at 3 different modelscombining the Ibovespa index of the three types of exchange rate shocks anda shock of international financial markets. The existence and direction ofspillovers of volatility of forward exchange shocks, international financialmarket shocks and the Ibovespa were tested by Granger causality test ofsecond order. The results show the existence of spillovers from exchangerate shocks and financial markets for the Ibovespa index, and thesecorrelations have temporal dynamics, with spillovers always in the directionof the shocks to the Ibovespa index.