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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0310	13.46***
β GARCH Volatility persistence	0.7869	89.19***
γ leverage Additional response to negative shocks	0.1267	24.26***
λ₁ tau intercept Baseline long-term coefficient	0.0049	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0452	3.47***
λ₃ tau persistence Long-term factor persistence	0.9526	67.26***

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PepsiCo Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PepsiCo Inc Analyses