PepsiCo Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
24.30%
decreased by 1.21%
1 Week
24.12%
decreased by 1.39%
1 Month
23.62%
decreased by 1.89%
Analysis last updated: Monday, October 12, 2026 at 09:33 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 11 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4948 | 8.27*** |
| αARCH | 0.0910 | 7.91*** |
| βGARCH | 0.8485 | 52.42*** |
Spline Coefficients
K=6
| γ1 | 0.0488 | 4.81*** |
| γ2 | -0.0993 | -6.55*** |
| γ3 | 0.0871 | 8.15*** |
| γ4 | -0.0515 | -4.69*** |
| γ5 | 0.0348 | 2.97*** |
| γ6 | -0.0323 | -3.74*** |
0.940
Persistence11d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4948 | 8.27*** |
α ARCH Response to squared shocks | 0.0910 | 7.91*** |
β GARCH Volatility persistence | 0.8485 | 52.42*** |
Spline Coefficients
K=6
| γ1 | 0.0488 | 4.81*** |
| γ2 | -0.0993 | -6.55*** |
| γ3 | 0.0871 | 8.15*** |
| γ4 | -0.0515 | -4.69*** |
| γ5 | 0.0348 | 2.97*** |
| γ6 | -0.0323 | -3.74*** |
Persistence:
0.940
Half-life:
11 days
Other PepsiCo Inc Analyses
Other Zero Slope Spline-GARCH Analyses on Equities