CBOE Emerging Market Markets Volatility Index

S&P/BMV IPC VIX

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1216	3.18***
α ARCH Response to squared shocks	0.3898	2.23**
β GARCH Volatility persistence	0.2301	1.99**

γ₁	-1.7153	-2.17**
γ₂	2.1977	1.55
γ₃	0.2568	0.23
γ₄	-1.7528	-1.82*
γ₅	2.2689	2.15**
γ₆	-2.7185	-2.56**
γ₇	2.4957	2.73***
γ₈	-1.5603	-1.44
γ₉	0.7194	0.60

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

Date Range:

News Impact Curve

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Parameter Estimates

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