CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8617	12.42***
α ARCH Response to squared shocks	0.0795	7.27***
β GARCH Volatility persistence	0.8748	49.11***

V-Lab

Grupo Comercial Chedraui SA de CV Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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