CBOE Volatility Index

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{name} Model Equation

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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	0.0182	5.36***
αARCH	0.1750	19.07***
βGARCH	0.8228	84.89***
γleverage	0.1132	4.67***
δpower	0.6836	4.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0182	5.36***
α ARCH Response to squared shocks	0.1750	19.07***
β GARCH Volatility persistence	0.8228	84.89***
γ leverage Additional response to negative shocks	0.1132	4.67***
δ power Transformation power	0.6836	4.13***

V-Lab

PepsiCo Inc Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PepsiCo Inc Analyses