V-Lab
PepsiCo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
24.22%
decreased by 1.24%
1 Week
24.23%
decreased by 1.23%
1 Month
24.26%
decreased by 1.20%
Analysis last updated: Wednesday, August 5, 2026 at 09:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 121 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.78 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4591 | 3.87*** |
α ARCH Response to squared shocks | 0.0651 | 43.63*** |
β GARCH Volatility persistence | 0.9943 | 683.37*** |
ν DF Student-t tail thickness | 5.7808 | 9.78*** |
Persistence:
0.994
Half-life:
121 days
Other PepsiCo Inc Analyses
Other GAS-GARCH Student T Analyses on Equities