Volatilidade e Causalidade: Evidência para os mercados à vista e futuro de câmbio e índice de ações no Brasil

The main objective of this article is to evaluate the evidence of causality between the volatility in the future and spot markets of foreign exchange and stocks in Brazil. We analyse several periods that include external shocks and changes in the exchange rate policy. Causality from future to spot markets is tested using both the volatilities cross correlogram and a bivariate GARCH model. The results do not allow us to strongly confirm that volatility in the futures market causes volatility in the spot market.