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	1.0303	5.92***
αARCH	0.1019	8.41***
βGARCH	0.8504	52.82***

γ₁	-0.0296	-0.93
γ₂	0.0748	1.58
γ₃	-0.1343	-3.72***
γ₄	0.1831	5.34***
γ₅	-0.1723	-5.02***
γ₆	0.1175	3.38***
γ₇	-0.0252	-0.80
γ₈	-0.0214	-0.70
γ₉	0.0018	0.07

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0303	5.92***
α ARCH Response to squared shocks	0.1019	8.41***
β GARCH Volatility persistence	0.8504	52.82***

γ₁	-0.0296	-0.93
γ₂	0.0748	1.58
γ₃	-0.1343	-3.72***
γ₄	0.1831	5.34***
γ₅	-0.1723	-5.02***
γ₆	0.1175	3.38***
γ₇	-0.0252	-0.80
γ₈	-0.0214	-0.70
γ₉	0.0018	0.07

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