V-Lab: Caterpillar Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Caterpillar Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 12th, 2024:30.14% (-0.51%)

Analysis last updated: Wednesday, December 11, 2024 at 10:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8841	7.50
$α$	0.0427	6.33
$β$	0.9365	101.45
$γ_{1}$	-0.0043	-2.57
$γ_{2}$	0.0092	3.04

Estimation Period:
Jan 2, 1990 to Dec 6, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts