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	0.0142	1.92*
αARCH	0.1104	3.24***
βGARCH	0.9037	50.83***
γleverage	-0.0363	-0.75

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0142	1.92*
α ARCH Response to squared shocks	0.1104	3.24***
β GARCH Volatility persistence	0.9037	50.83***
γ leverage Additional response to negative shocks	-0.0363	-0.75

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CFE Capital S DE RL DE CV GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CFE Capital S DE RL DE CV Analyses