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

Volatility prediction for Monday, July 27th, 2026

1 Day

21.95%

decreased by 0.24%

1 Week

21.33%

decreased by 0.86%

1 Month

20.30%

decreased by 1.89%

Analysis last updated: Friday, July 24, 2026 at 09:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of Goldman Sachs Nasdaq-100 Premium Income ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 26, 2023 to Jul 24, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-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

Persistence:

0.902

Half-life:

7 days