S&P GSCI Platinum Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
37.43%
decreased by 0.97%
1 Week
37.34%
decreased by 1.06%
1 Month
37.00%
decreased by 1.40%
Analysis last updated: Tuesday, July 14, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 150 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: positive returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0123 | 17.06*** |
α ARCH Response to squared shocks | 0.0534 | 39.49*** |
β GARCH Volatility persistence | 0.9420 | 681.16*** |
γ leverage Additional response to negative shocks | -0.0818 | -3.10*** |
Persistence:
0.995
Half-life:
150 days
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