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	0.0256	6.74***
αARCH	0.0951	11.08***
βGARCH	0.9018	103.11***
γleverage	0.3494	6.91***
δpower	1.5503	10.44***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0256	6.74***
α ARCH Response to squared shocks	0.0951	11.08***
β GARCH Volatility persistence	0.9018	103.11***
γ leverage Additional response to negative shocks	0.3494	6.91***
δ power Transformation power	1.5503	10.44***

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