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	5.0000	12.94***
α ARCH Response to squared shocks	0.2754	9.14***
β GARCH Volatility persistence	0.5499	26.18***

V-Lab

S&P/BMV IPC VIX GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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