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We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the three types of exchange rate shocks and a shock of international financial markets. The existence and direction of spillovers of volatility of forward exchange shocks, international financial market shocks and the Ibovespa were tested by Grangerdoi:10.12660/rbfin.v15n4.2017.63341 fatcat:pizltmgoi5gl3nns4wef6og5te