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	1.2521	3.04***
α ARCH Response to squared shocks	0.3396	2.72***
β GARCH Volatility persistence	0.4140	3.85***

γ₁	-1.6177	-1.96**
γ₂	2.0954	1.40
γ₃	0.2150	0.18
γ₄	-1.6489	-1.59
γ₅	2.0981	1.84*
γ₆	-2.3234	-1.80*
γ₇	1.8468	1.35
γ₈	-0.9712	-0.79
γ₉	0.5713	0.34
γ₁₀	-0.3830	-0.26

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/BMV IPC VIX Analyses