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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2812	4.16***
α ARCH Response to squared shocks	0.1070	9.14***
β GARCH Volatility persistence	0.9619	121.67***
ν DF Student-t tail thickness	5.4824	2.74***

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Goldman Sachs Nasdaq-100 Premium Income ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goldman Sachs Nasdaq-100 Premium Income ETF Analyses