V-Lab
S&P GSCI Platinum Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
36.25%
1 Week
37.03%
1 Month
36.75%
Analysis last updated: Friday, July 24, 2026 at 11:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 17% 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 | 0.1014 | 19.49*** |
β GARCH Volatility persistence | 0.6516 | 25.36*** |
γ leverage Additional response to negative shocks | -0.0149 | -2.48** |
λ₁ tau intercept Baseline long-term coefficient | 0.0106 | 1.25 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0551 | 2.46** |
λ₃ tau persistence Long-term factor persistence | 0.9410 | 38.72*** |
Persistence:
0.746
Half-life:
2 days
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