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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0009	3.59***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8777	72.20***
γ leverage Additional response to negative shocks	0.2232	5.95***

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Calamos S&P 500 Stru ETF JAN GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos S&P 500 Stru ETF JAN Analyses