Abstract

SOSA CASTRO, Miriam; BUCIO PACHECO, Christian  and  CABELLO ROSALES, Alejandra. Conditional dependence in NAFTA block: GARCH model and Copula approach. ecos.econ. [online]. 2018, vol.22, n.47, pp.73-91. ISSN 1657-4206.  https://doi.org/10.17230/ecos.2018.47.4.

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.

Keywords : Conditional Dependence; NAFTA; GARCH Copula; Contagion Effect.

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