V-Lab
Caterpillar Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
33.84%
decreased by 0.01%
1 Week
33.80%
decreased by 0.05%
1 Month
33.67%
decreased by 0.18%
Analysis last updated: Friday, September 11, 2026 at 11:54 PM 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 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.10 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.990, shock half-life ~71 daysv = 5.10 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.0322 | 1.12 |
| αARCH | 0.0467 | 5.94*** |
| βGARCH | 0.9903 | 107.48*** |
| νDF | 5.0976 | 1.75* |
0.990
Persistence71d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.0322 | 1.12 |
α ARCH Response to squared shocks | 0.0467 | 5.94*** |
β GARCH Volatility persistence | 0.9903 | 107.48*** |
ν DF Student-t tail thickness | 5.0976 | 1.75* |
Persistence:
0.990
Half-life:
71 days
Other Caterpillar Inc Analyses
Other GAS-GARCH Student T Analyses on Equities