V-Lab
Calamos Nasdaq Autocallable Income ETF APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, August 12th, 2026
1 Day
12.39%
1 Week
12.57%
1 Month
13.30%
Analysis last updated: Tuesday, August 11, 2026 at 09:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 20, 2025 to Aug 7, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution. The volatility power δ = 1.75 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0085 | 0.92 |
α ARCH Response to squared shocks | 0.0378 | 0.00 |
β GARCH Volatility persistence | 0.9414 | 47.68*** |
γ leverage Additional response to negative shocks | 1.0000 | 0.00 |
δ power Transformation power | 1.7526 | 5.36*** |
Persistence:
1.000
Half-life:
-
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