Goldman Sachs Nasdaq-100 Premium Income ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
20.87%
decreased by 2.20%
1 Week
20.67%
decreased by 2.40%
1 Month
20.03%
decreased by 3.04%
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
Volatility shocks decay with a half-life of 18 trading days, meaning a shock loses half its impact after approximately 18 days. Returns follow a Student-t distribution with v = 5.41 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2827 | 4.06*** |
α ARCH Response to squared shocks | 0.1077 | 8.89*** |
β GARCH Volatility persistence | 0.9613 | 119.40*** |
ν DF Student-t tail thickness | 5.4116 | 2.72*** |
Persistence:
0.961
Half-life:
18 days
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