V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:27.71% (-0.29%)

Analysis last updated: Tuesday, September 17, 2024 at 10:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0418	13.57
$α$	0.0038	4.84
$β$	0.9627	777.00
$γ$	0.0475	18.41

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts