V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

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V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:27.39% (-0.16%)

Analysis last updated: Monday, January 13, 2025 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0413	13.53
$α$	0.0033	4.26
$β$	0.9635	792.32
$γ$	0.0473	18.71

Estimation Period:
Jan 2, 1990 to Jan 10, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts