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

V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 24th, 2025:43.08% (-1.30%)

Analysis last updated: Wednesday, April 23, 2025 at 09:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9105	6.04
$α$	0.0523	6.21
$β$	0.9008	55.73
$γ_{1}$	0.0129	0.45
$γ_{2}$	-0.0073	-0.16
$γ_{3}$	-0.0484	-1.46
$γ_{4}$	0.0984	3.04
$γ_{5}$	-0.1172	-4.31
$γ_{6}$	0.1183	4.89
$γ_{7}$	-0.0765	-3.21
$γ_{8}$	0.0183	0.99

Estimation Period:
Jan 2, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts