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
ωlong-run	58.9247	1.12
αscore	0.1093	22.65***
βpersistence	0.9932	183.44***
νDF	2.3570	58.12***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	58.9247	1.12
α score Weight on the scaled score	0.1093	22.65***
β persistence Volatility persistence	0.9932	183.44***
ν DF Student-t tail thickness	2.3570	58.12***

V-Lab

S&P/BMV IPC VIX GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/BMV IPC VIX Analyses