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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	4.16***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8884	78.40***
γ leverage Additional response to negative shocks	0.1155	2.73***

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Calamos S&P 500 ST AL PR ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos S&P 500 ST AL PR ETF Analyses