Goldman Sachs Nasdaq-100 Premium Income ETF AGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
21.07%
decreased by 2.14%
1 Week
20.51%
decreased by 2.70%
1 Month
19.34%
decreased by 3.87%
Analysis last updated: Monday, July 20, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 26, 2023 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = 1.11) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.1234 | 14.10*** |
β GARCH Volatility persistence | 0.7613 | 48.20*** |
γ leverage Additional response to negative shocks | 1.1078 | 19.61*** |
Persistence:
0.885
Half-life:
6 days
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