It’s terracotta at the VMFA. This is what the plaque says.
And when Perseus cut off Medusa’s head, there sprang forth great Chrysaor and the horse Pegasus. Now Pegasus flew away and left the earth, the mother of flocks, and he came to the deathless gods: and he dwells in the house of Zeus and brings to wise Zeus the thunder and lightning. Hesiod, Theogony