Goldman Sachs Nasdaq-100 Premium Income ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
18.88%
decreased by 1.40%
1 Week
18.97%
decreased by 1.31%
1 Month
19.21%
decreased by 1.07%
Analysis last updated: Monday, July 20, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 26, 2023 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 14 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8411 | 4.02*** |
α ARCH Response to squared shocks | 0.1314 | 2.84*** |
β GARCH Volatility persistence | 0.8219 | 15.36*** |
Spline Coefficients
K=1
| γ1 | -0.0590 | -0.89 |
Persistence:
0.953
Half-life:
14 days
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