Trasmisión de Volatilidad del COVID-19 a los Precios de Acciones del Sector Bancario e Industrial de Sudamérica, México y Estados Unidos

Abstract

This work is aimed at modeling the volatility of share prices in the banking and industrial sectors of South America, Mexico, and the United States during the COVID-19 pandemic. For this purpose, the TGARCH (1,1) and EGARCH (1,1) models are estimated. These empirical models are advantageous because they allow an asymmetric response of the conditioned variance depending on the sign of the residuals. It is a crucial element for portfolio designs and risk management to measure the volatility of financial markets and capture potential investment opportunities or losses. The analysis carried out reveals that Brazil was the most volatile when facing the impact of COVID-19, followed by Colombia, Peru, Chile, and Argentina. A separate case is Ecuador and Mexico, which did not have a significant impact on the volatility of share prices. On the other hand, the COVID-19 shock had a greater impact on the volatility of the industrial sector in South America and Mexico, while affecting greatly the banking sector in the United States.