Goldman Sachs Nasdaq-100 Premium Income ETF GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
19.83%
increased by 0.09%
1 Week
19.66%
decreased by 0.08%
1 Month
19.14%
decreased by 0.60%
Analysis last updated: Friday, July 17, 2026 at 10:01 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
Volatility shocks decay with a half-life of 15 trading days, meaning a shock loses half its impact after approximately 15 days.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0572 | 8.02*** |
α ARCH Response to squared shocks | 0.1262 | 10.42*** |
β GARCH Volatility persistence | 0.8281 | 57.78*** |
Persistence:
0.954
Half-life:
15 days
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