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 Tuesday, March 11th, 2025:18.67% (+0.03%)

Analysis last updated: Tuesday, March 11, 2025 at 02:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3248	9.31
$α$	0.1070	7.21
$β$	0.7937	33.80
$γ_{1}$	-0.0001	-0.00
$γ_{2}$	0.0588	1.17
$γ_{3}$	-0.1321	-3.25
$γ_{4}$	0.0395	0.98
$γ_{5}$	0.1501	3.89
$γ_{6}$	-0.2091	-5.18
$γ_{7}$	0.1365	3.18
$γ_{8}$	-0.0321	-0.80
$γ_{9}$	-0.0190	-0.50
$γ_{10}$	0.0000	0.00

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

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