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	10.1511	16.41***
α ARCH Response to squared shocks	0.4149	11.09***
β GARCH Volatility persistence	0.2238	8.81***
γ leverage Additional response to negative shocks	0.1511	0.56

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S&P/BMV IPC VIX AGARCH Volatility Analysis

Date Range:

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