V-Lab: PepsiCo Inc Spline-GARCH Volatility Analysis

V-Lab

PepsiCo Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:28.48% (-0.20%)

Analysis last updated: Thursday, April 17, 2025 at 10:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3153	9.23
$α$	0.1081	7.29
$β$	0.7931	33.80
$γ_{1}$	-0.0061	-0.20
$γ_{2}$	0.0712	1.42
$γ_{3}$	-0.1456	-3.60
$γ_{4}$	0.0511	1.28
$γ_{5}$	0.1456	3.79
$γ_{6}$	-0.2122	-5.27
$γ_{7}$	0.1410	3.27
$γ_{8}$	-0.0287	-0.69
$γ_{9}$	-0.0426	-0.95
$γ_{10}$	0.0780	1.13

Estimation Period:
Jan 2, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts