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

V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:33.28% (-0.69%)

Analysis last updated: Thursday, May 8, 2025 at 09:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9099	6.07
$α$	0.0525	6.21
$β$	0.8998	55.22
$γ_{1}$	0.0130	0.45
$γ_{2}$	-0.0076	-0.17
$γ_{3}$	-0.0478	-1.45
$γ_{4}$	0.0977	3.03
$γ_{5}$	-0.1169	-4.31
$γ_{6}$	0.1184	4.92
$γ_{7}$	-0.0772	-3.26
$γ_{8}$	0.0190	1.03

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts