V-Lab
PepsiCo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
17.05%
decreased by 0.79%
1 Week
17.16%
decreased by 0.68%
1 Month
17.56%
decreased by 0.28%
Analysis last updated: Friday, October 2, 2026 at 10:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 115 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
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High persistence: persistence 0.994, shock half-life ~115 daysv = 5.83 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.3702 | 0.98 |
| αARCH | 0.0653 | 10.50*** |
| βGARCH | 0.9940 | 160.97*** |
| νDF | 5.8291 | 2.33** |
0.994
Persistence115d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.3702 | 0.98 |
α ARCH Response to squared shocks | 0.0653 | 10.50*** |
β GARCH Volatility persistence | 0.9940 | 160.97*** |
ν DF Student-t tail thickness | 5.8291 | 2.33** |
Persistence:
0.994
Half-life:
115 days
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