Goldman Sachs Nasdaq-100 Premium Income ETF GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
20.94%
decreased by 1.46%
1 Week
20.61%
decreased by 1.79%
1 Month
19.64%
decreased by 2.76%
Analysis last updated: Tuesday, July 14, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 26, 2023 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0659 | 7.27*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8409 | 62.35*** |
γ leverage Additional response to negative shocks | 0.2095 | 6.20*** |
Persistence:
0.946
Half-life:
12 days
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