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
m window Rolling window length	26
α ARCH Response to squared shocks	0.0166	7.84***
β GARCH Volatility persistence	0.8422	198.06***
γ leverage Additional response to negative shocks	0.1546	33.46***
λ₁ tau intercept Baseline long-term coefficient	0.0035	7.01***
λ₂ forecast adj. Forecast performance sensitivity	0.0241	9.03***
λ₃ tau persistence Long-term factor persistence	0.9740	337.74***

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Mexican Stock Exchange Mexican Bolsa IPC Index MF2-GARCH Volatility Analysis

Date Range:

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