V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

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V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:32.72% (-0.45%)

Analysis last updated: Tuesday, February 4, 2025 at 10:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0416	13.58
$α$	0.0033	4.31
$β$	0.9633	790.91
$γ$	0.0474	18.71

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts