NYMEX Platinum Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
36.83%
increased by 1.01%
1 Week
36.88%
increased by 1.06%
1 Month
37.05%
increased by 1.23%
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 0.991, volatility shocks have a half-life of 74 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.991, shock half-life ~74 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9301 | 3.63*** |
| αARCH | 0.0523 | 3.69*** |
| βGARCH | 0.9384 | 62.15*** |
Spline Coefficients
K=3
| γ1 | -0.0161 | -1.21 |
| γ2 | 0.0312 | 1.72* |
| γ3 | -0.0226 | -2.94*** |
0.991
Persistence74d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9301 | 3.63*** |
α ARCH Response to squared shocks | 0.0523 | 3.69*** |
β GARCH Volatility persistence | 0.9384 | 62.15*** |
Spline Coefficients
K=3
| γ1 | -0.0161 | -1.21 |
| γ2 | 0.0312 | 1.72* |
| γ3 | -0.0226 | -2.94*** |
Persistence:
0.991
Half-life:
74 days
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