NYMEX Platinum GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 8th, 2026
1 Day
37.58%
decreased by 0.74%
1 Week
37.52%
decreased by 0.80%
1 Month
37.28%
decreased by 1.04%
Analysis last updated: Wednesday, July 8, 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 3, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 119 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 55% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0232 | 9.94*** |
α ARCH Response to squared shocks | 0.0627 | 9.92*** |
β GARCH Volatility persistence | 0.9426 | 286.08*** |
γ leverage Additional response to negative shocks | -0.0223 | -2.96*** |
Persistence:
0.994
Half-life:
119 days
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