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

V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:29.20% (-0.41%)

Analysis last updated: Saturday, May 31, 2025 at 03:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9096	6.12
$α$	0.0531	6.24
$β$	0.8980	54.52
$γ_{1}$	0.0133	0.47
$γ_{2}$	-0.0084	-0.20
$γ_{3}$	-0.0465	-1.43
$γ_{4}$	0.0963	3.00
$γ_{5}$	-0.1159	-4.29
$γ_{6}$	0.1184	4.96
$γ_{7}$	-0.0785	-3.35
$γ_{8}$	0.0206	1.13

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts