V-Lab: Caterpillar Inc MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Caterpillar Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:28.37% (-0.30%)

Analysis last updated: Friday, December 20, 2024 at 11:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0030	2.77
$β$	0.9645	860.40
$γ$	0.0470	25.82
$λ_{1}$	4.3437	0.00
$λ_{2}$	0.0000	0.00
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts