V-Lab: PepsiCo Inc GJR-GARCH Volatility Analysis

V-Lab

PepsiCo Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 15th, 2025:17.82% (-0.50%)

Analysis last updated: Monday, July 14, 2025 at 09:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0145	15.27
$α$	0.0279	20.54
$β$	0.9341	658.73
$γ$	0.0677	16.32

Estimation Period:
Jan 2, 1990 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts