How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0323	1.40
αARCH	0.0308	6.31***
βGARCH	0.9536	280.72***
γleverage	0.0301	3.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0323	1.40
α ARCH Response to squared shocks	0.0308	6.31***
β GARCH Volatility persistence	0.9536	280.72***
γ leverage Additional response to negative shocks	0.0301	3.18***

V-Lab

PepsiCo Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PepsiCo Inc Analyses