V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 9th, 2025:25.66% (-0.27%)

Analysis last updated: Tuesday, July 8, 2025 at 09:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0437	13.78
$α$	0.0029	3.74
$β$	0.9623	779.82
$γ$	0.0491	18.96

Estimation Period:
Jan 2, 1990 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts