V-Lab
NYMEX Platinum MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
41.70%
1 Week
40.88%
1 Month
40.04%
Analysis last updated: Saturday, August 22, 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 Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 51% 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 | 0.1331 | 15.50*** |
β GARCH Volatility persistence | 0.5983 | 17.44*** |
γ leverage Additional response to negative shocks | -0.0452 | -4.21*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0260 | 0.78 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0558 | 1.37 |
λ₃ tau persistence Long-term factor persistence | 0.9369 | 19.02*** |
Persistence:
0.709
Half-life:
2 days
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