CBOE Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	2.3905	0.98
αARCH	0.0653	10.57***
βGARCH	0.9940	163.41***
νDF	5.8390	2.35**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3905	0.98
α ARCH Response to squared shocks	0.0653	10.57***
β GARCH Volatility persistence	0.9940	163.41***
ν DF Student-t tail thickness	5.8390	2.35**

V-Lab

PepsiCo Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PepsiCo Inc Analyses