Goldman Sachs Nasdaq-100 Premium Income ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
22.09%
decreased by 1.56%
1 Week
22.36%
decreased by 1.29%
1 Month
21.41%
decreased by 2.24%
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
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
| 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 |
Persistence:
0.901
Half-life:
7 days
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