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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0406	6.31***
α ARCH Response to squared shocks	0.0168	1.10
β GARCH Volatility persistence	0.5672	12.16***
γ leverage Additional response to negative shocks	0.2004	4.34***

V-Lab

Calamos Autocallable INM ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos Autocallable INM ETF Analyses