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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	0.0321	13.79***
β GARCH Volatility persistence	0.7836	88.38***
γ leverage Additional response to negative shocks	0.1273	24.17***
λ₁ tau intercept Baseline long-term coefficient	0.0050	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.0447	3.51***
λ₃ tau persistence Long-term factor persistence	0.9529	68.55***

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PepsiCo Inc MF2-GARCH Volatility Analysis

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