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{name} Model Equation

Spline Coefficients

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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	0.7825	35.53***
γ leverage Additional response to negative shocks	0.2368	13.34***
λ₁ tau intercept Baseline long-term coefficient	0.1666	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.1434	0.26
λ₃ tau persistence Long-term factor persistence	0.7297	0.64

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

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