CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0276	22.59***
α ARCH Response to squared shocks	0.0426	22.15***
β GARCH Volatility persistence	0.8957	444.29***
γ leverage Additional response to negative shocks	0.1047	16.74***

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