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

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V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 4th, 2024:28.99% (-0.49%)

Analysis last updated: Tuesday, December 3, 2024 at 11:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9047	5.93
$α$	0.0497	6.04
$β$	0.9056	57.91
$γ_{1}$	0.0107	0.35
$γ_{2}$	-0.0016	-0.04
$γ_{3}$	-0.0569	-1.67
$γ_{4}$	0.1082	3.35
$γ_{5}$	-0.1252	-4.63
$γ_{6}$	0.1218	4.92
$γ_{7}$	-0.0757	-3.08
$γ_{8}$	0.0169	0.89

Estimation Period:
Jan 2, 1990 to Nov 29, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts