CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0723	14.48***
β GARCH Volatility persistence	0.8048	68.94***
γ leverage Additional response to negative shocks	0.0220	3.88***
λ₁ tau intercept Baseline long-term coefficient	0.9854	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.6400	0.13
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Grupo Comercial Chedraui SA de CV MF2-GARCH Volatility Analysis

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