PepsiCo Inc APARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
23.18%
1 Week
23.25%
1 Month
23.51%
Analysis last updated: Saturday, October 10, 2026 at 12:38 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 74 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.31 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 243% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0185 | 5.86*** |
| αARCH | 0.0670 | 9.20*** |
| βGARCH | 0.9330 | 135.99*** |
| γleverage | 0.4372 | 5.40*** |
| δpower | 1.3142 | 9.24*** |
0.991
Persistence74d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0185 | 5.86*** |
α ARCH Response to squared shocks | 0.0670 | 9.20*** |
β GARCH Volatility persistence | 0.9330 | 135.99*** |
γ leverage Additional response to negative shocks | 0.4372 | 5.40*** |
δ power Transformation power | 1.3142 | 9.24*** |
Persistence:
0.991
Half-life:
74 days
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