CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	6.3215	2.95***
αARCH	0.0505	15.44***
βGARCH	0.9981	1,503.17***
νDF	2.1953	259.06***

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.3215	2.95***
α ARCH Response to squared shocks	0.0505	15.44***
β GARCH Volatility persistence	0.9981	1,503.17***
ν DF Student-t tail thickness	2.1953	259.06***

V-Lab

CFE Capital S DE RL DE CV GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CFE Capital S DE RL DE CV Analyses