V-Lab
NYMEX Platinum APARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
36.81%
1 Week
36.77%
1 Month
36.61%
Analysis last updated: Thursday, September 10, 2026 at 05:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1997 to Sep 4, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 101 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.60 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0226 | 2.24** |
| αARCH | 0.0606 | 4.25*** |
| βGARCH | 0.9394 | 62.16*** |
| γleverage | -0.1192 | -0.99 |
| δpower | 1.5998 | 7.44*** |
0.993
Persistence101d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0226 | 2.24** |
α ARCH Response to squared shocks | 0.0606 | 4.25*** |
β GARCH Volatility persistence | 0.9394 | 62.16*** |
γ leverage Additional response to negative shocks | -0.1192 | -0.99 |
δ power Transformation power | 1.5998 | 7.44*** |
Persistence:
0.993
Half-life:
101 days
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