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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0761	3.79***
α ARCH Response to squared shocks	0.0782	1.29
β GARCH Volatility persistence	0.8697	11.14***

V-Lab

Calamos Nasdaq Autocallable Income ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos Nasdaq Autocallable Income ETF Analyses