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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7879	35.49***
γ leverage Additional response to negative shocks	0.2292	13.20***
λ₁ tau intercept Baseline long-term coefficient	0.1670	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.1391	0.25
λ₃ tau persistence Long-term factor persistence	0.7311	0.64

V-Lab

Goldman Sachs Nasdaq-100 Premium Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goldman Sachs Nasdaq-100 Premium Income ETF Analyses