V-Lab
NYMEX Platinum GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
39.16%
1 Week
39.06%
1 Month
38.64%
Analysis last updated: Saturday, September 12, 2026 at 04:07 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1997 to Sep 11, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 131 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.46 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.9096 | 1.63 |
| αARCH | 0.0423 | 11.44*** |
| βGARCH | 0.9947 | 326.67*** |
| νDF | 5.4599 | 2.99*** |
0.995
Persistence131d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.9096 | 1.63 |
α ARCH Response to squared shocks | 0.0423 | 11.44*** |
β GARCH Volatility persistence | 0.9947 | 326.67*** |
ν DF Student-t tail thickness | 5.4599 | 2.99*** |
Persistence:
0.995
Half-life:
131 days
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