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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	0.0000	0.00
α ARCH Response to squared shocks	0.0457	7.06***
β GARCH Volatility persistence	0.9029	38.91***
γ leverage Additional response to negative shocks	0.9651	10.98***

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Calamos Nasdaq Autocallable Income ETF AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos Nasdaq Autocallable Income ETF Analyses