Abstract
Brazil, Russia, India and China (BRIC) are pointed as the most probable countries to enter the select group of industrialised countries, also appearing among the world’s twelve largest economies. The main objective of the present study is to assess whether the capital market behaviour of the BRIC’s emerging countries in the 2008 international crisis had already been equivalent to that of industrialised countries (USA, Japan, United Kingdom, and Germany). Three univariate approaches were applied for modelling the market volatilities (GARCH, EGARCH and TARCH). The results showed similar behaviours between both market groups regarding the presence of persistent effects of shocks on volatility, volatility asymmetry, and delayed volatility reaction to market changes. The BRIC’s markets showed less persistence to volatility shocks, less asymmetry, and faster reactions of volatility to market changes.
Key words: Volatility, BRIC, emerging markets, GARCH models, financial crisis.
