V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:32.46% (-0.21%)

Analysis last updated: Saturday, May 31, 2025 at 03:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0422	13.60
$α$	0.0027	3.50
$β$	0.9633	794.17
$γ$	0.0483	19.11

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts