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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0037	2.54**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9300	86.24***
γ leverage Additional response to negative shocks	0.1203	4.81***

V-Lab

Calamos Nasdaq Autocallable Income ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos Nasdaq Autocallable Income ETF Analyses