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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8856	113.09***
γ leverage Additional response to negative shocks	0.1932	39.35***
λ₁ tau intercept Baseline long-term coefficient	0.0200	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.4062	0.13
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Calamos S&P 500 Stru ETF JAN MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calamos S&P 500 Stru ETF JAN Analyses