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	0.6789	4.19***
αARCH	0.2347	4.70***
βGARCH	0.3469	3.79***

γ₁	-2.6559	-2.41**
γ₂	4.1255	2.61***
γ₃	-3.2590	-2.69***
γ₄	2.4108	1.89*
γ₅	0.1757	0.15
γ₆	-2.0935	-1.80*
γ₇	2.3730	1.65*
γ₈	-1.5646	-0.93
γ₉	0.3517	0.25
γ₁₀	0.4712	0.61

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6789	4.19***
α ARCH Response to squared shocks	0.2347	4.70***
β GARCH Volatility persistence	0.3469	3.79***

γ₁	-2.6559	-2.41**
γ₂	4.1255	2.61***
γ₃	-3.2590	-2.69***
γ₄	2.4108	1.89*
γ₅	0.1757	0.15
γ₆	-2.0935	-1.80*
γ₇	2.3730	1.65*
γ₈	-1.5646	-0.93
γ₉	0.3517	0.25
γ₁₀	0.4712	0.61

V-Lab

CFE Capital S DE RL DE CV Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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