V-Lab: Caterpillar Inc GJR-GARCH Volatility Analysis

V-Lab

Caterpillar Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:28.01% (-0.34%)

Analysis last updated: Friday, June 20, 2025 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0434	13.74
$α$	0.0029	3.69
$β$	0.9625	780.64
$γ$	0.0489	18.98

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts