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 Monday, December 23rd, 2024:28.49% (-0.03%)

Analysis last updated: Friday, December 20, 2024 at 11:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9026	5.95
$α$	0.0501	6.05
$β$	0.9043	56.89
$γ_{1}$	0.0115	0.39
$γ_{2}$	-0.0034	-0.07
$γ_{3}$	-0.0552	-1.64
$γ_{4}$	0.1073	3.35
$γ_{5}$	-0.1255	-4.67
$γ_{6}$	0.1233	5.03
$γ_{7}$	-0.0780	-3.21
$γ_{8}$	0.0188	1.00

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts