In this paper we use weekly interest rate data for a group of Latin American countries to analyze the extent to which these countries have been subject to "contagion." We are particularly interested in understanding volatility contagion, or the way in which periods of high volatility spillover across countries. Our paper departs from the existing literature in one important aspect: we allow the data to endogenously determine whether there have been periods of contagion. Then, we use the dates to study contagion periods. We find that contagion events are short-lived, lasting from two to seven weeks. We also find that the Asian and Russian crisis have had a greater effect on the Latin American countries than the pure Mexican and Brazilian crisis.