V-Lab: PepsiCo Inc MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

PepsiCo Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, March 10th, 2025:19.34% (-0.90%)

Analysis last updated: Friday, March 7, 2025 at 11:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0269	12.16
$β$	0.7925	94.61
$γ$	0.1326	25.07
$λ_{1}$	0.0052	2.23
$λ_{2}$	0.0455	3.44
$λ_{3}$	0.9518	65.98

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts