volatility co-movements. Particular interest is posed on understanding the existence of a common volatility process during the … results of this article indicate that while most currencies display evidence of time-varying variance, the volatility … movements in the Latin American foreign exchange markets seems to be mainly country specific. Common volatility processes seem …

. Furthermore, we show that the distribution itself changes from time to time, with periods of sustained shifts in volatility. To … distribution to identify these periods of differing volatility. …