V-Lab
PepsiCo Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
16.72%
decreased by 0.42%
1 Week
17.46%
increased by 0.32%
1 Month
19.34%
increased by 2.20%
Analysis last updated: Monday, September 14, 2026 at 09:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 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 | 1.4980 | 8.28*** |
| αARCH | 0.0913 | 7.92*** |
| βGARCH | 0.8482 | 52.40*** |
Spline Coefficients
K=6
| γ1 | 0.0493 | 4.83*** |
| γ2 | -0.1001 | -6.57*** |
| γ3 | 0.0875 | 8.14*** |
| γ4 | -0.0516 | -4.66*** |
| γ5 | 0.0345 | 2.92*** |
| γ6 | -0.0318 | -3.66*** |
0.939
Persistence11d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4980 | 8.28*** |
α ARCH Response to squared shocks | 0.0913 | 7.92*** |
β GARCH Volatility persistence | 0.8482 | 52.40*** |
Spline Coefficients
K=6
| γ1 | 0.0493 | 4.83*** |
| γ2 | -0.1001 | -6.57*** |
| γ3 | 0.0875 | 8.14*** |
| γ4 | -0.0516 | -4.66*** |
| γ5 | 0.0345 | 2.92*** |
| γ6 | -0.0318 | -3.66*** |
Persistence:
0.939
Half-life:
11 days
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