Calamos Nasdaq Autocallable Income ETF GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
13.20%
decreased by 0.32%
1 Week
13.38%
decreased by 0.14%
1 Month
14.07%
increased by 0.55%
Analysis last updated: Friday, June 12, 2026 at 11:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0095 | 1.46 | |
| 0.0000 | 0.00 | |
| 0.9396 | 46.59 | |
| 0.1208 | 2.14 |
Estimation Period:
Nov 20, 2025 to Jun 12, 2026
Nov 20, 2025 to Jun 12, 2026
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