V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, September 18th, 2025:24.88% (-0.18%)

Analysis last updated: Wednesday, September 17, 2025 at 09:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0440	13.80
$α$	0.0029	3.74
$β$	0.9620	783.41
$γ$	0.0494	18.95

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts