V-Lab
NYMEX Platinum MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
39.99%
1 Week
38.80%
1 Month
37.02%
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
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 | 0.1337 | 15.65*** |
β GARCH Volatility persistence | 0.5994 | 17.40*** |
γ leverage Additional response to negative shocks | -0.0464 | -4.34*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0269 | 0.78 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0567 | 1.35 |
λ₃ tau persistence Long-term factor persistence | 0.9356 | 18.35*** |
Persistence:
0.710
Half-life:
2 days
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