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	2.0456	1.74*
αARCH	0.0746	10.12***
βGARCH	0.9911	202.05***
νDF	7.4746	1.70*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0456	1.74*
α ARCH Response to squared shocks	0.0746	10.12***
β GARCH Volatility persistence	0.9911	202.05***
ν DF Student-t tail thickness	7.4746	1.70*

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