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 30th, 2025:27.13% (-0.40%)

Analysis last updated: Friday, June 27, 2025 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9105	6.16
$α$	0.0544	6.33
$β$	0.8953	53.55
$γ_{1}$	0.0137	0.49
$γ_{2}$	-0.0097	-0.23
$γ_{3}$	-0.0444	-1.38
$γ_{4}$	0.0940	2.94
$γ_{5}$	-0.1141	-4.23
$γ_{6}$	0.1182	4.99
$γ_{7}$	-0.0806	-3.48
$γ_{8}$	0.0233	1.29

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts