V-Lab: PepsiCo Inc MF2-GARCH Volatility Analysis

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V-Lab

PepsiCo Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:35.27% (+15.47%)

Analysis last updated: Tuesday, February 4, 2025 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0258	11.66
$β$	0.7884	94.55
$γ$	0.1372	25.39
$λ_{1}$	0.0044	2.25
$λ_{2}$	0.0392	3.75
$λ_{3}$	0.9585	83.88

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts