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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.0453	0.77
βGARCH	0.6141	7.17***
γleverage	0.0952	1.53
λ₁tau intercept	0.0614	0.20
λ₂forecast adj.	0.0112	0.86
λ₃tau persistence	0.9856	29.96***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0453	0.77
β GARCH Volatility persistence	0.6141	7.17***
γ leverage Additional response to negative shocks	0.0952	1.53
λ₁ tau intercept Baseline long-term coefficient	0.0614	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.0112	0.86
λ₃ tau persistence Long-term factor persistence	0.9856	29.96***

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Ultragenyx Pharmaceutical Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ultragenyx Pharmaceutical Inc Analyses