NYMEX Platinum MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 8th, 2026
1 Day
38.32%
1 Week
39.77%
1 Month
40.68%
Analysis last updated: Wednesday, July 8, 2026 at 05:17 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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 53% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.1338 | 15.64*** |
β GARCH Volatility persistence | 0.5993 | 17.44*** |
γ leverage Additional response to negative shocks | -0.0464 | -4.34*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0264 | 0.77 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0565 | 1.36 |
λ₃ tau persistence Long-term factor persistence | 0.9361 | 18.57*** |
Persistence:
0.710
Half-life:
2 days
Other NYMEX Platinum Analyses
Other MF2-GARCH Analyses on Commodities