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
ωconst	60.7018	1.13
αARCH	0.1081	22.55***
βGARCH	0.9932	184.16***
νDF	2.3404	61.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	60.7018	1.13
α ARCH Response to squared shocks	0.1081	22.55***
β GARCH Volatility persistence	0.9932	184.16***
ν DF Student-t tail thickness	2.3404	61.02***

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