The VIX Index and the Volatility of the Latin American and G7 Stock Exchanges before and during the COVID-19 Pandemic

This study analyzes and compares the influence of the VIX index, known as the “fear index,” on the volatility of the stock exchanges of the main Latin American countries (Brazil, Chile, and Mexico) and on some of the main international exchanges of the member countries of the G7 (the United States, Germany, France, and the United Kingdom) from January 2017 to December 2021. Through the application of the univariate and multivariate econometric GARCH models of volatility, the research hypothesizes the existence of a negative conditional correlation between the VIX index and the other stock exchange indices, with emphasis on the Brazilian stock exchange. However, except for the pandemic period, it is not possible to identify the presence of a negative conditional correlation between the VIX and the stock exchange indices selected throughout the analyzed period, contrary to expectations, highlighting the need to advance investigations with studies that analyze the VIX index with the respective effects on the stock market as well as investor behavior and the macroeconomic and particular influences of the country of each of the stock exchanges considered.