PepsiCo Inc GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
22.18%
decreased by 0.60%
1 Week
22.25%
decreased by 0.53%
1 Month
22.53%
decreased by 0.25%
Analysis last updated: Monday, October 12, 2026 at 09:33 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 9, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 184 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 235% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.996, shock half-life ~184 daysLeverage: Negative returns increase volatility 235% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0137 | 3.75*** |
| αARCH | 0.0272 | 5.25*** |
| βGARCH | 0.9372 | 170.43*** |
| γleverage | 0.0637 | 3.99*** |
0.996
Persistence184d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0137 | 3.75*** |
α ARCH Response to squared shocks | 0.0272 | 5.25*** |
β GARCH Volatility persistence | 0.9372 | 170.43*** |
γ leverage Additional response to negative shocks | 0.0637 | 3.99*** |
Persistence:
0.996
Half-life:
184 days
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