This article provides a quantitative analysis
using the Markov Switching Dynamic Regression (MSDR) model, in order to highlight the dynamics presented
by Ibovespa during the period from January 2005 to
December 2020, in which the subprime crisis occurred
and the COVID-19 crisis started. In particular, it used
two regimes (regime 1- low volatility and regime 2-high
volatility) in the model so that the market parameters
(Ibovespa) behave differently during economic crises
with the regimes representative. The Ibovespa remained
on regime 1 (low volatility) for three periods, totaling 186
months. In regime 2 (high volatility - 2008 and 2020
crises), it remained for about 6 months, that is, 4 months
in the 2008 crisis and 2 months in the COVID-19 crisis.
Keywords : Markov Switching Dynamic Regression, Covid19 Pandemic, Brazilian Stock Exchange.