CBOE Volatility Index

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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	0.6949	14.14***
α ARCH Response to squared shocks	0.0733	4.60***
β GARCH Volatility persistence	0.9394	69.25***
ν DF Student-t tail thickness	24.6577	0.26

V-Lab

Calamos Nasdaq Autocallable Income ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos Nasdaq Autocallable Income ETF Analyses