NYMEX Platinum GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
35.07%
increased by 1.55%
1 Week
35.04%
increased by 1.52%
1 Month
34.91%
increased by 1.39%
Analysis last updated: Saturday, October 10, 2026 at 04:05 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1997 to Oct 9, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 123 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
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High persistence: persistence 0.994, shock half-life ~123 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0227 | 2.49** |
| αARCH | 0.0619 | 2.50** |
| βGARCH | 0.9436 | 72.95*** |
| γleverage | -0.0221 | -0.75 |
0.994
Persistence123d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0227 | 2.49** |
α ARCH Response to squared shocks | 0.0619 | 2.50** |
β GARCH Volatility persistence | 0.9436 | 72.95*** |
γ leverage Additional response to negative shocks | -0.0221 | -0.75 |
Persistence:
0.994
Half-life:
123 days
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