Paper Title
An Analysis Of Cds Return Volatilities: Case Of Brics

Abstract
This paper considers the ability of the Generalized Asymmetric Power ARCH (APGARCH) model introduced by Ding, Granger and Engle (1993) to capture the stylized features of volatility in Credit Default Swap (CDS) returns for five countries (Brazil, Russia, China, South Africa and Turkey). We analyze these countries� daily CDS returns for the period January 27th, 2003 � November 4th, 2014. The results of this paper suggest that in the presence of asymmetric responses to innovations in the market, the APGARCH (1,1) Skewed Student-t model which accommodates both the skewness and the kurtosis of financial time series is preferred. Keywords- APGARCH, Credit Default Swap (CDS), Asymmetry JEL Classification: C22, C58, G15