V-Lab
PepsiCo Inc APARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
20.80%
1 Week
20.92%
1 Month
21.35%
Analysis last updated: Friday, September 4, 2026 at 10:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 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 = 1.32 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 240% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0186 | 5.85*** |
α ARCH Response to squared shocks | 0.0672 | 9.19*** |
β GARCH Volatility persistence | 0.9328 | 135.51*** |
γ leverage Additional response to negative shocks | 0.4343 | 5.37*** |
δ power Transformation power | 1.3158 | 9.24*** |
Persistence:
0.991
Half-life:
74 days
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