CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0156	2.75***
α ARCH Response to squared shocks	0.0420	7.68***
β GARCH Volatility persistence	0.9434	100.51***
γ leverage Additional response to negative shocks	1.0000	39.83***
δ power Transformation power	0.7672	2.93***

V-Lab

Calamos Nasdaq Autocallable Income ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos Nasdaq Autocallable Income ETF Analyses