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 Tuesday, May 26th, 2026
1 Day
10.68%
decreased by 0.25%
1 Week
10.93%
unchanged at 0.00%
1 Month
11.90%
increased by 0.97%
Analysis last updated: Friday, May 22, 2026 at 09:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0109 | 1.52 | |
| 0.0000 | 0.00 | |
| 0.9317 | 45.37 | |
| 0.1366 | 2.53 |
Estimation Period:
Nov 20, 2025 to May 22, 2026
Nov 20, 2025 to May 22, 2026
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