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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Parameter	Value	t-statistic
ω const Unconditional variance weight	60.8279	1.05
α ARCH Response to squared shocks	0.1105	22.50***
β GARCH Volatility persistence	0.9924	152.21***
ν DF Student-t tail thickness	2.3307	56.75***

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