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	1.2579	2.96***
αARCH	0.3450	2.72***
βGARCH	0.4183	3.98***

γ₁	-1.6446	-1.98**
γ₂	2.1431	1.42
γ₃	0.1677	0.14
γ₄	-1.5906	-1.52
γ₅	2.0227	1.75*
γ₆	-2.2190	-1.67*
γ₇	1.7104	1.19
γ₈	-0.8240	-0.66
γ₉	0.4278	0.26
γ₁₀	-0.2716	-0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2579	2.96***
α ARCH Response to squared shocks	0.3450	2.72***
β GARCH Volatility persistence	0.4183	3.98***

γ₁	-1.6446	-1.98**
γ₂	2.1431	1.42
γ₃	0.1677	0.14
γ₄	-1.5906	-1.52
γ₅	2.0227	1.75*
γ₆	-2.2190	-1.67*
γ₇	1.7104	1.19
γ₈	-0.8240	-0.66
γ₉	0.4278	0.26
γ₁₀	-0.2716	-0.19

V-Lab

S&P/BMV IPC VIX Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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