V-Lab: Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, August 28th, 2025:27.97% (-0.62%)

Analysis last updated: Wednesday, August 27, 2025 at 09:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9149	6.12
$α$	0.0535	6.32
$β$	0.8979	54.96
$γ_{1}$	0.0150	0.54
$γ_{2}$	-0.0125	-0.30
$γ_{3}$	-0.0407	-1.27
$γ_{4}$	0.0897	2.78
$γ_{5}$	-0.1104	-4.04
$γ_{6}$	0.1168	4.89
$γ_{7}$	-0.0827	-3.58
$γ_{8}$	0.0264	1.49

Estimation Period:
Jan 2, 1990 to Aug 22, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts