V-Lab: PepsiCo Inc Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

PepsiCo Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:24.58% (-1.96%)

Analysis last updated: Friday, April 26, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2762	9.15
$α$	0.1118	7.18
$β$	0.7860	32.17
$γ_{1}$	-0.0200	-0.61
$γ_{2}$	0.0921	1.72
$γ_{3}$	-0.1451	-3.38
$γ_{4}$	0.0209	0.50
$γ_{5}$	0.1847	4.51
$γ_{6}$	-0.2276	-5.13
$γ_{7}$	0.1305	2.87
$γ_{8}$	-0.0180	-0.41
$γ_{9}$	-0.0280	-0.59
$γ_{10}$	0.0188	0.26

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts