Caterpillar Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
37.62%
1 Week
37.53%
1 Month
37.18%
Analysis last updated: Friday, October 23, 2026 at 11:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 75 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 = 5.31 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.1088 | 1.13 |
| αscore | 0.0470 | 6.03*** |
| βpersistence | 0.9908 | 113.13*** |
| νDF | 5.3074 | 1.69* |
0.991
Persistence75d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.1088 | 1.13 |
α score Weight on the scaled score | 0.0470 | 6.03*** |
β persistence Volatility persistence | 0.9908 | 113.13*** |
ν DF Student-t tail thickness | 5.3074 | 1.69* |
Persistence:
0.991
Half-life:
75 days
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