CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5204	8.39***
α ARCH Response to squared shocks	0.0912	7.91***
β GARCH Volatility persistence	0.8480	52.05***

γ₁	0.0517	5.09***
γ₂	-0.1037	-6.83***
γ₃	0.0892	8.29***
γ₄	-0.0514	-4.54***
γ₅	0.0312	2.40**
γ₆	-0.0196	-1.10

V-Lab

PepsiCo Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PepsiCo Inc Analyses