V-Lab: PepsiCo Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

PepsiCo Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:18.76% (-0.65%)

Analysis last updated: Friday, December 20, 2024 at 11:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3112	9.51
$α$	0.1115	7.02
$β$	0.7774	29.65
$γ_{1}$	-0.0027	-0.09
$γ_{2}$	0.0626	1.28
$γ_{3}$	-0.1315	-3.32
$γ_{4}$	0.0313	0.80
$γ_{5}$	0.1633	4.33
$γ_{6}$	-0.2197	-5.54
$γ_{7}$	0.1405	3.36
$γ_{8}$	-0.0301	-0.77
$γ_{9}$	-0.0251	-0.66
$γ_{10}$	0.0066	0.22

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

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