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{name} Model Equation

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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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Param	Value	t-stat
ωconst	1.5238	8.40***
αARCH	0.0912	7.92***
βGARCH	0.8481	52.16***

γ₁	0.0517	5.09***
γ₂	-0.1037	-6.83***
γ₃	0.0892	8.29***
γ₄	-0.0516	-4.56***
γ₅	0.0317	2.44**
γ₆	-0.0218	-1.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5238	8.40***
α ARCH Response to squared shocks	0.0912	7.92***
β GARCH Volatility persistence	0.8481	52.16***

γ₁	0.0517	5.09***
γ₂	-0.1037	-6.83***
γ₃	0.0892	8.29***
γ₄	-0.0516	-4.56***
γ₅	0.0317	2.44**
γ₆	-0.0218	-1.23

V-Lab

PepsiCo Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PepsiCo Inc Analyses