Goldman Sachs Nasdaq-100 Premium Income ETF Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
22.25%
increased by 1.13%
1 Week
22.67%
increased by 1.55%
1 Month
23.87%
increased by 2.75%
Analysis last updated: Tuesday, July 21, 2026 at 09:29 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 15 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9959 | 4.56*** |
α ARCH Response to squared shocks | 0.1334 | 2.77*** |
β GARCH Volatility persistence | 0.8224 | 15.32*** |
Spline Coefficients
K=1
| γ1 | 0.2548 | 0.67 |
Persistence:
0.956
Half-life:
15 days
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