V-Lab
NYMEX Platinum GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
34.20%
increased by 2.73%
1 Week
34.17%
increased by 2.70%
1 Month
34.06%
increased by 2.59%
Analysis last updated: Friday, July 31, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1997 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 116 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 56% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0235 | 10.06*** |
α ARCH Response to squared shocks | 0.0629 | 9.97*** |
β GARCH Volatility persistence | 0.9425 | 285.94*** |
γ leverage Additional response to negative shocks | -0.0226 | -3.01*** |
Persistence:
0.994
Half-life:
116 days
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