NYMEX Platinum GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
34.42%
1 Week
34.35%
1 Month
34.07%
Analysis last updated: Saturday, October 17, 2026 at 04:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1997 to Oct 16, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 130 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 | 2.8888 | 1.62 |
| αARCH | 0.0421 | 11.39*** |
| βGARCH | 0.9947 | 322.42*** |
| νDF | 5.4566 | 2.96*** |
0.995
Persistence130d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8888 | 1.62 |
α ARCH Response to squared shocks | 0.0421 | 11.39*** |
β GARCH Volatility persistence | 0.9947 | 322.42*** |
ν DF Student-t tail thickness | 5.4566 | 2.96*** |
Persistence:
0.995
Half-life:
130 days
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