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	1.0000	4.22***
α ARCH Response to squared shocks	0.2841	11.37***
β GARCH Volatility persistence	0.5366	13.58***
γ leverage Additional response to negative shocks	0.0112	0.16
δ power Transformation power	0.8113	8.02***

V-Lab

S&P/BMV IPC VIX APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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