CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0165	7.78***
β GARCH Volatility persistence	0.8415	197.03***
γ leverage Additional response to negative shocks	0.1553	33.45***
λ₁ tau intercept Baseline long-term coefficient	0.0035	7.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0243	9.01***
λ₃ tau persistence Long-term factor persistence	0.9738	334.30***

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