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	5.0000	3.22***
αARCH	0.2203	2.08**
βGARCH	0.5240	7.84***
γleverage	0.2041	0.75

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	3.22***
α ARCH Response to squared shocks	0.2203	2.08**
β GARCH Volatility persistence	0.5240	7.84***
γ leverage Additional response to negative shocks	0.2041	0.75

V-Lab

S&P/BMV IPC VIX GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/BMV IPC VIX Analyses