V-Lab
S&P GSCI Platinum Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
39.77%
decreased by 1.03%
1 Week
39.67%
decreased by 1.13%
1 Month
39.27%
decreased by 1.53%
Analysis last updated: Saturday, September 12, 2026 at 12:56 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 100 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 0.993, shock half-life ~100 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9874 | 5.29*** |
| αARCH | 0.0467 | 7.81*** |
| βGARCH | 0.9464 | 148.82*** |
Spline Coefficients
K=2
| γ1 | 0.0035 | 1.90* |
| γ2 | -0.0051 | -2.20** |
0.993
Persistence100d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9874 | 5.29*** |
α ARCH Response to squared shocks | 0.0467 | 7.81*** |
β GARCH Volatility persistence | 0.9464 | 148.82*** |
Spline Coefficients
K=2
| γ1 | 0.0035 | 1.90* |
| γ2 | -0.0051 | -2.20** |
Persistence:
0.993
Half-life:
100 days
Other S&P GSCI Platinum Index Analyses
Other Zero Slope Spline-GARCH Analyses on Commodities