Risk of Exchange-Traded Fund: iShares MCSI Mexico (WEBS Mexico) compared to the IPyC and the nominal exchange rate

to invest in shares of companies in developing markets, such as Mexico. This paper analyzes the performance of the returns granted by the iShares MCSI Mexico, an Exchange-Traded Fund (ETF), whose portfolio is made up of forty-four Mexican stocks. It is compared to the performance of the Mexican market through the IPyC and the exchange rate. Using the EGARCH methodology, the ETF was found to be much riskier than the other two instruments over a three-year period, especially during the period when the Mexican economy was shut down due to the pandemic.