V-Lab
Caterpillar Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
32.78%
decreased by 0.20%
1 Week
32.89%
decreased by 0.09%
1 Month
33.27%
increased by 0.29%
Analysis last updated: Friday, September 11, 2026 at 11:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 31 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8782 | 5.41*** |
| αARCH | 0.0439 | 6.70*** |
| βGARCH | 0.9336 | 100.11*** |
Spline Coefficients
K=4
| γ1 | -0.0036 | -0.49 |
| γ2 | -0.0019 | -0.19 |
| γ3 | 0.0147 | 2.62*** |
| γ4 | -0.0135 | -3.40*** |
0.978
Persistence31d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8782 | 5.41*** |
α ARCH Response to squared shocks | 0.0439 | 6.70*** |
β GARCH Volatility persistence | 0.9336 | 100.11*** |
Spline Coefficients
K=4
| γ1 | -0.0036 | -0.49 |
| γ2 | -0.0019 | -0.19 |
| γ3 | 0.0147 | 2.62*** |
| γ4 | -0.0135 | -3.40*** |
Persistence:
0.978
Half-life:
31 days
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