V-Lab: PepsiCo Inc GJR-GARCH Volatility Analysis

V-Lab

PepsiCo Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:21.44% (-0.57%)

Analysis last updated: Saturday, May 31, 2025 at 02:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0144	15.10
$α$	0.0277	20.44
$β$	0.9345	657.17
$γ$	0.0675	16.32

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts