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

V-Lab

Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, August 1st, 2025:25.55% (-0.18%)

Analysis last updated: Thursday, July 31, 2025 at 09:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9125	6.14
$α$	0.0540	6.33
$β$	0.8965	54.18
$γ_{1}$	0.0142	0.51
$γ_{2}$	-0.0109	-0.26
$γ_{3}$	-0.0429	-1.33
$γ_{4}$	0.0923	2.88
$γ_{5}$	-0.1128	-4.16
$γ_{6}$	0.1179	4.96
$γ_{7}$	-0.0820	-3.55
$γ_{8}$	0.0252	1.41

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts