V-Lab: Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:35.80% (-0.66%)

Analysis last updated: Friday, April 26, 2024 at 10:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9033	5.84
$α$	0.0510	6.03
$β$	0.9042	57.83
$γ_{1}$	0.0097	0.30
$γ_{2}$	0.0030	0.06
$γ_{3}$	-0.0666	-1.87
$γ_{4}$	0.1195	3.70
$γ_{5}$	-0.1326	-4.85
$γ_{6}$	0.1205	4.57
$γ_{7}$	-0.0649	-2.47
$γ_{8}$	0.0058	0.29

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts