CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.3185	13.20***
β GARCH Volatility persistence	0.2162	9.01***
γ leverage Additional response to negative shocks	0.3325	4.67***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.22
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.6547	0.38

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S&P/BMV IPC VIX MF2-GARCH Volatility Analysis

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