PepsiCo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
30.36%
decreased by 1.57%
1 Week
30.30%
decreased by 1.63%
1 Month
30.08%
decreased by 1.85%
Analysis last updated: Friday, July 10, 2026 at 10:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 120 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 = 5.82 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 | 2.4490 | 3.90*** |
α ARCH Response to squared shocks | 0.0653 | 43.32*** |
β GARCH Volatility persistence | 0.9943 | 678.67*** |
ν DF Student-t tail thickness | 5.8212 | 9.66*** |
Persistence:
0.994
Half-life:
120 days
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