V-Lab
PepsiCo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
22.05%
increased by 1.05%
1 Week
22.08%
increased by 1.08%
1 Month
22.20%
increased by 1.20%
Analysis last updated: Tuesday, August 25, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 117 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 = 5.83 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 | 2.3993 | 3.90*** |
α ARCH Response to squared shocks | 0.0654 | 42.33*** |
β GARCH Volatility persistence | 0.9941 | 655.72*** |
ν DF Student-t tail thickness | 5.8326 | 9.42*** |
Persistence:
0.994
Half-life:
117 days
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