V-Lab
Caterpillar Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
31.56%
increased by 1.02%
1 Week
31.57%
increased by 1.03%
1 Month
31.59%
increased by 1.05%
Analysis last updated: Friday, October 2, 2026 at 11:26 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 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
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High persistence: persistence 0.990, shock half-life ~71 daysv = 5.10 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.0243 | 1.12 |
| αARCH | 0.0467 | 5.94*** |
| βGARCH | 0.9903 | 106.88*** |
| νDF | 5.1019 | 1.75* |
0.990
Persistence71d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.0243 | 1.12 |
α ARCH Response to squared shocks | 0.0467 | 5.94*** |
β GARCH Volatility persistence | 0.9903 | 106.88*** |
ν DF Student-t tail thickness | 5.1019 | 1.75* |
Persistence:
0.990
Half-life:
71 days
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